in addition to what others are saying, you have to consider the age of the wood. new lumber is still soft and contains a lot of moisture, any pine or cedar will take a screw or nail like butter. however, once the wood dries it will be much harder to screw the nail and much more likely to split the wood in the process.
i always drill a pilot hole into old wood. with osb or plywood, i typically don't bother because the wood is thin enough and is not as likely to split since it's engineered.
if you are in doubt, drill a pilot hole. it takes a little extra time but it can never hurt, as long as you drill it the right size.