I think it's dramatic effect. Even though I trace plumbing and electrical, I still like to peek inside to make sure I didn't miss anything.

In most cases, you're not going to try to salavge anything from the wall being removed. Banging through with a hammer will be less likely to cut anything of any importance that might be in the wall cavity (vent/plumbing piping, electrical wires, etc.) Smashing something can also be fun and therapeutic. You can see in the broken out areas, what's in the cavity before you start the surgical removal of the wall at surfaces/interfaces where things are to remain after the removal.

I'd score the wall deeply with a utility knife along the line of the desired opening before taking a sledge to it, just to define the optimum fracture line. Busting out the drywall creates a lot less dust than sawing it.
Also, be sure to hit the wall where the studs are NOT.
Hitting the studs with the sledge could cause some degree of unintended demolition as it will transmit the force to the ceiling.

"Banging through with a hammer will be less likely to cut anything of any importance that might be in the wall cavity (vent/plumbing piping, electrical wires, etc.)"

It also creates a huge number of small scraps that must be gathered and removed, and makes sure dust will get all over.

Cutting drywall with a knife is much more controlled and neater with far less cleanup labor.

Plaster is even worse though.
If you smash it apart it is a very heavy mess with tons of dust.
If you cut it with a Sawzall along the studs at least the only dust there is from the kerf.
You can control the size of the pieces cut out to make them manageable.

The shows do it for dramatic effect I'm sure.

Hammer, flat pry bar, Sawzall, coal shovel (if plaster), gloves, N90/100 mask and goggles.

You could easily hurt yourself and/or your house with a sledge hammer.

Here is a link that might be useful: flat pry bar

Oops, that pry bar was small. Here is a larger better one.

Here is a link that might be useful: better pry bar

I would not go bashing the wall in with anything - you might hit wiring and pull it out from a box, etc. Instead, make as shallow a hole as possible with a regular hammer or cut out a square with a utility knife set to barely cut through the drywall (don't use a drywall saw - you may cut into wiring!). After you open hole big enough to grab on to, you can then pull off pieces of drywall by hand. A way to get bigger pieces is to score the drywall at the edge of a stud all the way down and you can break off large portions once you cut at the edge of the other stud, but that takes time. Usually just tear it off by hand or with help of pry bars, making sure to not damage wiring and plumbing underneath. At any rate, where a dust mask!

"Smashing something can also be fun and therapeutic."

It may not be the most efficient, but I stand by this statement!

For those who are decent at using a reciprocating saw, using a metal blade, hold the saw at a steep angle so that the blade barely penetrates the rock and cut down the middle of each stud cavaty after you have scored the top connect between lid and the wall. Take a pry bar and pry out enough to get a grip on and rock the cut panels off of the stud. It will let go pretty easily even if the existing fasteners are screws and will be less of a mess! Mask up, goggle up, glove up!

It is best to turn off the power in the building while you are removing finishes.

"It is best to turn off the power in the building while you are removing finishes."

It might be "best" but it is rarely done.

Working with hand tools ion the dark slows work down excessively.

If you take the wall apart piece by piece the risk is not very large.