When I used to fish my spey rod, I'd prefer fishing a sinktip line w/ a weighted fly. The junction between the sinking and floating line provided a nice "pivot point" in my spey cast and actually made the spey cast easier for me. I used a rio line and a high density sink tip 90% of the time. I would change between weighted and non-weighted flies for depth changes. To keep the flies from hanging up on the swing, I'd just allow a little more belly in the mainline and it would speed up the swing a little and lift the fly up off the bottom.

As for weighting or not weighting, you can change the way the fly is tied (if you tie) to get desired results w/o adding lead or cone heads. A heavy wire hook, slightly oversized and a slimmer profile marabou fly will almost achive the same bulky bunny leech profile, but sink much quicker.

But like stated above, It all depends if you want to give a little more "punch" in your casts, or gracefully toss the fly out there. It all depends on the water fished. Going weightless seemed easier on bigger water, small streams usually required wieght because of shorter holding areas.

Aaron