I find that weighing daily helps me notice changes in the weight trend fairly quickly. I've also calibrated my sense of what the normal fluctuations are by graphing my weight and taking moving averages for a while, though. So I can look at the scale reading four pounds above yesterday morning and say "hmm, maybe I shouldn't have eaten that whole pizza by myself".

Faster feedback loops are better for training. You just have to spend a little time installing a filter sometimes.