Depends on the relation and the person. I for example always prefer cash from family because my preferred gift is computer supplies and none of them know a damn thing about hardware. Exception being my brother, but he just buys me some clothes which is also cool.
That said, for friends/girlfriend? Absolutely rude (unless you have a deal going I suppose, but that's very situation-specific). Even if you're wanting to let them pick a specific gift they want (out of a type that you selected), just go down to the store, have them pick out something and then pay for it, giving money itself is just... meh.
To quote House:
"Gifts allow us to show exactly how much we know about a person and there's nothing people hate more than being shoved into the wrong pigeonhole."
And in the case of money, you're basically just saying "I have no fucking clue what you're like". That said, if you're shit (like me) at picking gifts, here's Eric Idle to comfort you: