I do have HTC Desire HD and I rooted it but I'm not sure how valuable is the HTC Sense package and if it makes "sense" (funny) to use a 2.2 firmware with HTC Sense or just to go for the plain Android 2.3 firmware.
This is pretty much just a matter of preference, to be honest. I don't think you'll really "lose" any functionality on a Desire by going to an AOSP based ROM, either 2.3 or otherwise. You should gain built-in USB and wifi tethering, though, since those are a standard part of Android 2.2+. The real deciding factor will just be if you prefer the Sense UI or another launcher (ADW, LauncherPro, Zeam, etc). You will lose any HTC widgets since they depend on Sense, but there are widgets in the Market which actually mimic the style and functionality of the HTC ones for just that reason. You also lose HTC's proprietary apps, since they generally use the Sense framework in various ways.
Threads pop up on XDA from time to time where people argue over whether Sense is better than other launchers but it almost inevitably just amounts to each group saying "I think X better than Y because I like the way it looks".
My answer focuses a bit more on the Sense vs No-Sense (see the bottom part for links about 2.3 vs 2.2).
I currently have a Sense based ROM on my EVO and CyanogenMod on my old Hero. Now there are differences in the devices so that must be taken into account but here is what I have found.
On my Hero, I had a Sense based ROM for a long time and liked it (I kinda prefer Sense). When I tried AOSP ROMs they tended to be faster and give me better battery-life but from time to time would cause my Hero to reboot. When I got tired of this I went back to a Sense based ROM it was slow but never reboot on me. Eventually I got tired of the slowness and went back to CyanogenMod for the Hero. The other thing I liked about CyanogenMod was the Photos app that would grab photos from Picasa's Web Albums. I didn't like that the Sense widgets and Sense apps (like the clock widget and app with all the integrated functionality) were gone and the keyboard was the stock one (personally I prefer the HTC keyboard). Now as eldarerathis already mentioned you can find similar replacements for the widgets and apps but in my attempts nothing I found was perfect - you may find that different.
On my EVO I have only tried a Sense ROM. I have excellent battery-life, all the sense functionality and with the ROM I'm using (Fresh 3.5) there is an app added that will allow you to add the Google apps (clock, photos, etc.) or the AOSP lock screen. I have the wireless and USB tether that eldarerathis mentioned as well and as he already mentioned the merits of Google Maps.
I can't say that I have tried any ROM's for the Desire either Sense or AOSP but here is a link to the CyanogenMod Forum for the Desire if you wanted to see what other people are experiencing with that ROM.
Here are some links that explain some differences between 2.3 and 2.2 breaking them down my feature sets: