I have to wonder about some of the posts here. Do you people live in swamps?
How often are you walking around with mud caked on the bottom of your shoes? And don't you have a floor mat at the front door to wipe off any detritus?
I can see it being a concern if, yes - you live in a swampland, and no - you don't have a mat.
Actually, I might be on to something. Everyone who seems surprised at shoes being worn indoors seems to be from the far north - Canada, Britain, Scandinavia, etc. - all of which have really wet climates. Whereas everyone who thinks its weird to be picky about it live in drier climates - Australia, The USA, etc...
Myself, I don't notice shoes unless the person's house seems fastidiously clean, like they're anal about it or something (good give aways are thick white carpet and polished floors), in which case I remove my shoes. Or if the house seems particularly dirty - usually people who have pets, in which case I'll make sure my shoes are kept on.