As a maker, I'm seeing a lot of misconceptions that I think are worth commenting on:
1) Myth - Unlined holsters are thinner/less bulky: Depends on the maker's decisions. A lined holster can have a higher degree of stiffness for a given thickness, as much of the rigidity comes from the grain side of the leather (smoothe face). Many makers use "over thick" leather for their lined holsters, which is what gives the reputation of being thicker. Most makers only buy certain thicknesses of leather, so while an unlined 7-8oz holster might be just fine, a guy just doesn't own that much 2-3oz leather (or has to do a lot of skiving/splitting to make it) and will end up using 4-5oz, leaving them a bit bulkier. OR worse still, they'll simply throw a 2-3oz or 4-5oz liner inside of a 7-8oz holster pattern, and make it a LOT bulkier. If you're doing much carving or tooling, it gets pretty dicey to work on a 2-3oz shell, especially if your pattern rolls around the holster, since you need to make deeper cuts/impressions to have them survive the bend, so a lot of guys just stick with thicker stuff. But, at equal thickness, a lined holster will be stiffer than an unlined one.
1 - B) Any holster with kydex liner ends up being quite a bit thicker, as it needs a good firmness of liner and shell to prevent the edges of the kydex from showing, and of course, the kydex adds thickness itself.
2) Myth - Lined holsters collect moisture and will rust your gun: Not true in the least. The grain side of the leather is actually more moisture resistant than the flesh side. This myth comes from two sources. First, many holsters that are lined with goat/kid skin, pig skin, or other chrome tanned leather (very soft, supple leathers that are very gentle on gun finishes) do tend to cause corrosion to leather. Not because they collect/attract moisture, but because the salts used in the tanning process of these leathers are corrosive. Over time, that causes a problem. Makers can alleviate that risk by thoroughly rinsing the leather and going back in with oils, but it's still not a perfect science, as thorough rinsing tends to take a lot of the life out of the leather. The Second source for this myth is based around the fact that most un-lined holsters are burnished on the inside using gum tragacanth, beeswax, or other balms, or even with products like "Edge-Kote" that's essentially a rubberizing sealant. Lined-leathers are not sealed in this way, but are either left virgin or are coated with something like Saddle lac, or even acrylics like Super Sheen. Dyes used on veg tan leather can quickly cause rust to develop, or even deposit into stainless steel (dye, not rust), so if they're not thoroughly rinsed, the same effect as above happens. There are also a number of leather softeners or leather treatments out there that have quite negative effects in contact with metal - for example, neatsfoot oil COMPOUND was hot for leather treatment ~20-15yrs ago, but it's typically about 40% water in itself, and will degrade the leather AND rust your guns, even though it does put a nice sheen on the leather for a couple of days. So even though the flesh side of leather is more hygroscopic than the grain side, these burnishing compounds tend to seal the grain to prevent moisture build up, AND prevent excess dye from corroding or staining the weapon. Alternatively, the virgin linings don't have that degree of sealing, or the products used to treat the leather itself are counterindicated for contact with firearms/metal. A properly treated lined holster will be no more apt to collect moisture than an non-lined holster.
One of the largest reasons that I prefer linings on all of my holsters is that I hate seeing flesh side of leather. While it nearly doubles the material cost of the holster, it's not cost prohibitive, and I can afford to be subjectively spendy... Another issue that I have with unlined holsters is that the flesh side is more abrasive in itself, and collects particulates to become even moreso, worse than lined holsters... So I line mine. I wouldn't avoid buying one just because it WASN'T lined, but if I'm buying it "built to order," you can bet that it has a liner.