Deadheading is not simply a matter of keeping things neat. When you remove spent flowers promptly after they bloom, you direct the energy of the plant away from seed making. Most annuals will, when deadheaded, use that energy to bloom and bloom, since making seeds is their whole mission in life. The more thwart them, the harder they try. And don't wait until the blossoms look tired. As a genera rule, annual flowers signal "mission accomplished" shortly after they're pollinated, so you get the longest season of bloom if you cut lots of bouquets.
It does pay to let a few seeds form. Many annuals will self-sow for next year, among them nigella, alyssum, nicotiana, calendula, cleome, larkspur, and marigolds.
Remember it is time to prune and deadhead some perennials as well. This is the time to cut back some ornamental grasses such as maiden grass if they get to big for their space. If you lightly prune them back about one-third and before they set their seed heads, they will stay more compact and full. Also, this is the perfect time to prune back flowering perennials like rudbeckia. I trim my back about 12 inches and before you know it they will bloom again in the fall.