you can always include gravity as an additional load (for instance, for a constant cross-section beam, a uniform one), so - as @joojaa already mentioned - it is good to omit it and keep things tidy and clean.
Besides, for many structures the loads from structure self weight is (and should be) much smaller than the intended load. Maybe a plane won't be a best example, but still (oversimplification warning) - B747 weighs around 180 tonnes empty, take-off weight can be up to ~400 tonnes (after wiki). The wings weigh about 80 tonnes (link), so the load apart from gravity is four times bigger than weigh.