There are many different types of baking or cookie sheets available. There are coated and uncoated sheets, light metal and dark metal sheets, thick and thin metal sheets; and each will affect your baking differently to some degree.
Nonstick coatings are excellent in that they usually eliminate the steps you must normally take to prevent sticking. These coatings are easily damaged, however, and care must be taken not to cut on their surfaces. For recipes where cutting is necessary, an uncoated sheet is needed.