The only reason not to would be if you can't afford to go to one.
I'd totally recommend going to at least 2, hopefully the two you are planning on making your firm and insurance choices - and if you don't enjoy either of those then you can go to more. I have had friends who were dead set on going to one place and hated it on an open day, and others who went to their last resort choice for a "free day out" and ended up firming them.
I'm going to play devil's advocate here though. The major downside to open days (as with anything similar) is that no matter where you go, everything is going to seem extremely put on and almost fake, depending on how the uni likes to run their events. Naturally an open day is 110% the best way to get a true feel for whether or not you can live and study somewhere for ~3 years of your life, but having helped out on open days for my sixth form and going to uni open days myself, it's obvious that what you see on an open day isn't a true representation of what daily life is going to be like. It'll be the closest you can experience to the real thing, but it's not perfect.
The best way to get past this 'fakeness' is to speak to current students on your visit, regardless of whether they are ambassadors or not, because they are likely to be honest, and you can usually tell by their reactions and attitudes whether or not their enjoy or loathe the course/city/uni/whatever. Ask as many questions as you can think of that you'll want to get the answer to. There's no need to be pedantic or overly dickish, but if you have a niche interest and want to know if you can carry it on at uni, don't be afraid to ask it, someone will be able to find out for you while you are there.
Having said all of that though, you really should be going to open days.