No—not only do you not need to, cooking spray can actually damage the surface of nonstick pans. Meyer Corporation, the company that makes the highly rated Anolon nonstick cookware, says that the spray may actually cause nonstick cookware to stop being nonstick! Because the spray burns at a much lower temperature it can burn into the pan surface and cause a buildup.
If you want food to brown more deeply, wipe a little oil on the skillet before cooking.
Recipe: Quick Skillet Asparagus