I can't think of a good reason NOT to aspirate.
You only need to pull back a tiny bit on the plunger, if you are in a vein the blood will come into the barrel pretty much right away. If you have a steady hand the extra trauma it causes is negligible.
If you are injecting several cc's, absolutely aspirate. If several CC of oil found itself in a vein, that could very well be a disaster situation.
A Fat Embolism will fuck you up big time.
Acute respiratory distress following intravenous injection of an oil-steroid solution
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3205107/