Most manufacturers now recommend you use their provided chain joining method rather than the classic pushing the pin out partially to remove links and pushing it back. This is because with tighter tolerances, partially pushing a pin out and re-pushing in it in may weaken the chain or not provide a solid enough closing of the chain. This can lead to the chain breaking at the re-pushed pin area (so the questions of wear and what not are secondary; you want the chain to stay on, so you should use the master link/special rivet/whatever manufacturer suggests).
The chain joining method is generally in the form of a master link or a special rivet.
SRAM, KMC and others provide master links with new chains and it's highly recommended you use them. Some of them are one-time use (SRAM Powerlock; used for >=10 speed) while others are multi-use (SRAM Powerlink; used for <=9 speed, KMC Missinglink, etc.). Generally, manufacturers state you should only use their link with their chain, but many people mix and match depending on the situation (at their own risk, obviously; a lot of people, for example, use a SRAM Powerlink 8 speed with a KMC or Shimano chain which is 7-9 speed, even though it is against manufacturer recommendations).
Shimano uses a special rivet that you push in and break the head off. Campagnolo has a more difficult special rivet which you have to peen with a special tool on some chains, or some other systems of the sort.
I highly recommend using a master link (or whatever chain closing method the chain manufacturer recommends/provides). For <=8 speed chains, you can probably get away with the pushing pin out and pushing back if you're careful, but even these chains generally come with master links/rivets which are easier to get right and install (so I would recommend using the master link or rivet if provided). I would definitely not recommend trying the push pin out partially and pushing it back on a >8 speed chain.
If you're buying a chain with a master link and having trouble using it, you can try a tool like Park Tool MLP-1.2 to help install/remove them.