Sometimes, not resigning makes you a more resourceful player and improves your defensive ability. I just played this game where I thought of resigning after black's Ne4, but just kept playing as a reminder never to get into that situation again.
http://en.lichess.org/WFDjJBtB/white#65However, in OTB games that go on for hours, it might not be time well spent playing on in a completely lost position. Whereas, it might be worth playing on in online games, especially considering the time constraint (even for classical games on lichess)