If it is DD1, DD2, SIL or DH they don't need to leave a message. I will call them back, we call each other several times a day anyway, so I would probably be calling them later or they will call me.
Anyone else should leave a message, because I will not call them back without one.
And I hate, hate, hate, hate people who call you back after a wrong number. Wrong numbers happen, why in the world do they call me back and yell at me for misdialing? Often I hang up as soon as I notice I have misdialed, generally before the phone has rung more than twice.