Yes and no, it depends on the species. Not all fursonas/OCs have tails because not all animals have them (like frogs). However most people like having tails on their fursonas. It's another part of the character that you can customize, design around (see furgonomics), or use in communication (like someone with a dog 'sona wagging their tail).

There are also euphemisms and innuendo related to tails, though I'll spare you the spicy details unless you really want to know.

Personally I like tails on anthro characters, especially if they're digitigrade because to me they either look front-heavy or just look... odd... without them. When you're used to seeing dogs and cats with tails, it looks weird when they suddenly don't have them.