Depends what your goal is, I guess.

Mine was partly to have the challenge of doing things solo. Right after hitting 80 and setting up my macros, I was doing H UK (skipping Prince) and Drak'tharon (skipping Novos) nightly for epics and emblems with my mixed group. By the end of a week, I was doing H HoL and Gundrak. Didn't take much longer than a week to have several epic drops on each toon, exalted with Kirin Tor on each (more items/enchants), lots of DE'd shards for pattern buying, and enough emblems to at least buy an emblem belt/neck/whatever (not quite gloves or chest yet) on each toon.

I hadn't really thought about doing Naxx, since this was back in the "you must have 2000+ DPS or go away" days of Naxx pugging at the beginning. I at least wanted to get pretty close to raid hit cap before I got into raiding, but it's not necessary. Naxx 10 is the same item quality as heroics (not counting KT), so it's just a matter of deciding what items give you the best itemization you are looking for on a particular toon. Naxx definitely has some items I want, like set gear for the bonuses, but nearly every heroic has at least some other item I want (heck, the defense trinket from Loken on regular HoL was pretty huge). What I didn't like was the big time sink I would have to sit through for probably several nights for maybe 2-3 items that I might win rolls on, and for only one toon.

If you can get into a Naxx run, then its probably worth it, but those nights where you don't have a group, you might as well do heroics for even more items. Heroics can get all your guys more Naxx capable faster than running Naxx individually, in my estimation. But if Naxx is your goal, then I wouldn't tell anyone not to do that. Do what you think is more fun.