Example 1: Your opponent just went first and played mox island time walk, and you have a FoW in an average hand. (In my opinion not a good idea to lose card advantage).
I'd sooner run Solfatara and Turf Wound than counter this Time Walk.
Example 2: You have two Blue open and a mana drain in hand, with a few guns. And your opponent is taped out.
If it wins you the game, by all means. Many games are won on the back of being able to get some fat spell off while your opponent is tapped out. These games are usually treated as "I don't give a rat's ass what you're playing, it could be Cursed Totem for all I care, I just want to win now." If by "a few guns" you mean things like your own Time Walk, some metagame cards like Rebuild/Rack and Ruin, Imperial Seal, Tendrils, etc, then obviously it's not going to win you the game to get the extra two mana and you should leave it alone.
Example 3: You have two Blue open, a FoW, and a mana drain in hand, with a few guns.
Same answer as above. Time Walk becomes a must-counter under a few circumstances:
A) Your opponent is going to swing for lethal damage.
B) Your opponent has just played Goblin Welder, and if it becomes active you will lose.
C) Your opponent has a turn-specific effect in play (such as Dark Confidant)
D) Your opponent is bottlenecked with a loaded hand (like, six cards you know are really solid, but they can only play two cards this turn, one of which is Time Walk)
D is the hardest to gauge since the other three are based on board position, but for anybody with any sort of experience behind a Mana Drain oriented deck, it should come as second nature most of the time. The only other time you should counter Time Walk is if that counter is Mana Drain, and it wins you the game.
Is there a difference in importance whether you're playing a control, aggro, or combo deck?
All of these supertypes follow the rules outlined above.