I have done both, find out and be surprised. When I had my "medicalised" pregnancies where I followed the herd and was a good little patient, I had routine ultrasounds, and found out the gender. Sure it was fun "getting a peek" and finding out the gender, and having a name and everything. But still, it was a whole different ballgame having the u/S tech announce the sex of our baby to us. It's kind of weird having a complete stranger know the sex of your baby before you do, and announce it to you like some grand official pronouncement. I didn't care at all at the time, but now my preferences have changed.
With #4 we had no medical reason to do an U/S, my pregnancy went perfectly just like before, and I looked forward to finding out with my own eyes whether I had a boy or girl. I had a VERY vivid dream that as my skin stretched out so thin towards the end that I could see through my skin and see DS (and it was definitely a DS!). The dream was SO real I was blown away. If he had turned out to be a DD I would have been shocked I think.
Anyways, that moment when I first held him in my arms all fresh and new, and realized I didn't know if I was holding a son or a daughter, then looked down and--- BOY! It was the most amazing thrill. I had told my MW I didn't want anyone yelling out the sex as soon as the baby cleared my perineum the way the nurses do in the hospital. She said she would be too busy assessing color, breathing, etc. to even notice that. It was really great waiting, and even if I did need an U/S for any reason I would choose not to find out this time as well.
Kathryn