The depth you should use depends on the specific scene.
In most situations the default values work well.
However in scenes with a lot of transparent objects, increasing both the refraction and reflection depths could increase the realism.
The more surfaces the rays have to travel through the bigger depth values you should use.
Note that when a reflection ray reaches the max depth it returns a black color - this could lead to black areas in reflections (or reflections viewed through a refraction)
Refraction rays that reach the max just pass through the rest of the refractive surfaces - this can lead to incorrect light bending.
It is also worth noting that you can change the depth globally for all scene materials with the Max Trace Depth option in the Optimizations rollout (for GPU this option is an override, for CPU it is an upper limit).