If you've only got a few it's not a big deal, but if you've got pages and pages of tag pages, category pages, archive pages, etc you can end up with a whole bunch of pages indexed that are nothing but duplicate content. You want to noindex/follow them, there are WP plugins that will do this easily.
A lot of my tags are indexed and I keep getting more and more traffic each month, so it does not seem to hurt anything.
Do any of the tag pages actually bring in traffic? Google doesn't consider tagging, categories, or any of that to be unethical, but when they grow to a certain point they will set off spam filters. As far as Google knows then you're stuffing your site with similar pages. If you use noindex, you're telling Google preemptively that you know there's duplicate content, but you're obviously not trying to spam. Putting follow on there means all the links will be followed and you'll still get the SEO benefit from the tag link structure.
I would very highly recommend you use the ultimate noindex nofollow tool and use the noindex and nofoolw tag on categories and tag pages. If anybody tells you not too they are an idiot.
Anyone knows how to get rid of duplicate title tags in GW tools? I've got a lot of them - majority WP search pages with the same title. I will appreciate any advice.
use the "all in one seo tool" and change the page titles and make each different. simple. http://wordpress.org/extend/plugins/all-in-one-seo-pack/
Duplicate content can be a little confusing but in summary what it simply means is having the same content on the site twice, tags should not be an issue, however if you have the exact same content on your blog on two seperate urls then it becomes duplicate content