I have always depleted plasma prior to proteomics experiments. Actually, that isn't quite true. I've always had a qualified technician deplete plasma for me prior to doing plasma proteomics. I feel like I've written about this before, but am too sleepy to look up the entry. Anyway, about 95% of the protein in human plasma is made up of 15-20 single proteins. A good paper on the topic is available here.
Nice depletion columns available from a number of manufacturers will use various techniques to pull out these abundant proteins and give access to the lower abundance ones.
However, even after depletion, your top hits are ALWAYS from those proteins that should all be gone. You still get 80-90% sequence coverage of albumin, transferring and the various IGgs. In order to really dig into the plasma, you need to build extensive static exclusion lists or use extensive fractionation methods.
So I was surprised when I found out that the Biomarker Research Initiative in Mass Spectrometry (BRIMS) Center has a strict policy that they do not deplete plasma. My first thought, of course only shared with myself, was that they must be studying albumin as a biomarker, but this is most certainly not the cases. Their non depleted data is significantly better than any I generated with any of my depletion experiments. Their thought is that tons of proteins interact with these high prevalence proteins, when they are depleted they take a lot of those proteins with them. I'm going to look for some literature that has tested the two, or better yet, try to get access to a machine (and a technician who knows how to deplete plasma!) and give it a try.