Soon after I joined Twitter, I began auto-following everyone who followed me. I did it as a courtesy, so that it would make it easy for my followers to send me a private or direct message. I engaged in many one-on-one conversations that way, because I believed they were irrelevant to my other followers.
However, I have since changed my philosophy, choosing to reply publicly to most Twitter mentions. Why? Because the only people who see these replies are people who follow both me and the sender. In other words, only the people for whom the message might be relevant.