Always shot with both eyes open, tried closing one eye to help aiming on the long 70 & 80 yard shots and just felt strange, my better half has always shot with one eye closed and she's done very well (IFAA world\\European champ and world record holder).
I think it comes down to what your taught at the start, it's one of those form things that's very hard to change, both methods seem very effective.
Xtrema312 your right about both eyes and depth perception but people shooting with one eye closed dont walk around with one eye closed, they use the same depth perception.