There is no correct answer to this question. A lot depends on what you will be powering with this power supply.
If it is a simple circuit with just this one power supply, and you won't be making measurements with a scope, then often, the - terminal is grounded so that the circuit ground is equal to earth ground.
If you use multiple supplies, then often, only one has a terminal grounded. This prevents ground loops. Same idea when measuring using an earth-ground-referenced instrument like an oscilloscope. The ground lead on the probe is directly connected to ground. If you float the circuit, then you can connect this to almost any reasonable point in the circuit, not just a 'ground'. But if you ground reference the power supply - terminal, then you must only connect the scope ground probe to a true ground. And even then, you are creating a ground loop which may or may not cause problems.