This is almost like a religious thing.
Personally, I always do a full fluid exchange. Some call this a flush too, but I look at a flush as when they put cleaning chemicals in and flush them (mostly) back out. A true fluid exchange connects to the transmission cooler lines. The engine is started and the pump in the transmission pumps fluid into one side of a cylinder with a piston in the middle. As old fluid goes in one side, it forces new fluid out the other side and into the transmission. The procedure is stopped when new fluid starts coming back out. It's very important to use the correct fluid.
I think that a lot of people don't think to change the fluid till they start having problems. Often it is too late by then, but they blame the eventual failure on the fluid change anyway. Alternately, I think that going somewhere like Iffy Lube for this is just asking for trouble. Do it yourself, or find a good independent (non-chain) transmission shop to go to.