Teach me about em dashes!

I use the em dash in place of parenthesis in my fiction. I used to use it with a space on either side like so: Then Seth's band — The Real McCoys — is offered an amazing opportunity to tour as an opening act. At some point, I was told not to use spaces, so I started doing it like this: Then Seth's band—The Real McCoys—is offered an amazing opportunity to tour as an opening act.

Now someone else has suggested that I should include the spaces. Is it all a matter of opinion? Wikipedia is of little help (and I know I shouldn't trust Wikipedia all the time anyway) because it pretty much says in there that either way is acceptable in certain situations.

How do you use it?