Generally it is always wise to ground an analog connection to electrical ground at one point - the idea is that external interference hits the shield and is conducted away to electrical ground. If you ground at both ends and there is a potential difference between the two ends then you get induced noise into your cable.

In most instrumentation installations there is a earth bar in the termination rack that all instrument cable shields get earthed to. Where possible it is wise to have some sort of isolation between the PC and the instrumentation - you can have lightning strikes that induce many volts into the field cabling and you don't want that coming back into the PC. You'll find on devices like the ADAM modules that they have isolated comms and analog signals. In the case where your cables are only a short distance, you normally don't have earthing problems and isolation is not really an issue.