I usually don't sleep with socks on -- but that extra bit of warmth is comforting on cold nights (though the next morning I usually find that I've kicked them off in my sleep).
No problem with socks during the day, though. Didn't realize so many people had such an aversion to them. o.o I often go sock-less a fair amount of the time during summer, but, in the colder months? I pretty much keep my socks on all day. Never been bothered by them.
Edit: I also own quite a few pairs of really soft fuzzy socks that keep me really warm -- those are my favorites. =w= And they're also usually the only ones that I wear to bed.