If it's a simple return with a couple pages, fold 'em. The extra postage to mail them flat isn't worth the bother.
Massachusetts, though, requires paper returns to be mailed in flat. Perhaps they can't figure out how to put a weight on them to flatten them properly. Or perhaps with the three-page standard form plus four-page proof of health insurance form that must be included, single-sided, with every return, it just isn't feasible to try to tri-fold a MA return.
Catherine