Yes, if you tend to get the flu and want to probably minimize the symptoms. No, if you don’t usually get the flu.
I read a really good book recently about the 1918 flu epidemic. That’s the one that killed a few million people. One of the most important points I took away from the book is that half of the population doesn’t get the flu. Their immune system is such that they just don’t seem to get it, regardless of the strain. The math goes something like this:
If you get the shot, you are 80+% likely to get symptoms from the shot, though not as bad. Those with the shot have a 50% chance of a reduction of, or no symptoms from the actual flu. That means that if you get the shot, you can count on being sick in some context, and the shot is only 50% likely to get you out of the real thing.
On the other hand, if you don’t get the shot, you are only 50% likely to get the flu in any given year, although as mentioned earlier, that 50% tends to be the same 50% every year. However if you are one of those lucky 50%, you are included in the 80% who are likely to get symptoms from the shot.
Another interesting point is the concept of getting sick from being run-down. It seems that some viruses can reside in you in a dormant state. They are awakened by a chemical change in a run-down immune system. So, although you don’t get the virus by going out in the cold, you can come down with one by getting run-down.