I run one but think most racers don't.
There are 2 factory kinds, plastic and aluminum, and can be found on ebay. I believe you can also fabricate one as long as they are similar to the factory pieces.
I had "heard" they may improve engine cooling and aero. I haven't observed any difference in engine temp here in the Southeast with one and don't think it makes any significant difference in drag (though I haven't actually compared with and without).
Running the aluminum pan has helped me out before, though- it tends to collect any nuts and bolts that have fallen off the engine when it is running and recently it kept my radiator from getting dragged under the car when the rad rattled out of its mounts.