[Superman]

All the comments here are good. Having the car in gear give you more control options. With almost any car, having the drive wheels provide at least a little bit of power seems to make the car more stable, particularly with a rear wheel drive car. And perhaps that has to do with how the geometry of alignments is set up.

I'll add one thing, which is sort of just a bit more detail on the above: Cars seem to dive just a tiny bit onto the outside front wheel, in a turn where no power is applied. Perhaps the car is slowing down when no power is applied (on a flat plane). It feels like a tiny bit of power is needed to avoid loading that outside front wheel.

And then there are 911s. As we know, power is absolutely needed for stable turning. If we find ourselves in a situation where we are worried about losing traction and going off the road, the LAST thing you want to do is lift. Lifting transfers weight off the rear axle. This lightens the rear axle; reducing traction, while centrifugal forces are trying to push that engine to the outside of the curve. In a "pucker" situation, we have no choice but to keep our foot on the gas.