Imagine a typical 4-digit PIN scheme containing the digits [0-9]. If I choose my PIN at random, I will get one out of 10 * 10 * 10 * 10 = 10,000 codes. Based on my own experience, more than half of the time a random sequence of four digits will contain some property or pattern that significantly lowers its entropy: single digit used in more than one position, ascending/descending pattern, etc. (Yes, yes, a 4-digit PIN only has something like 13 bits of entropy max to begin with, but some random codes are even more awful.)

If I were abide by a rule where I only use a PIN that has a unique digit in each position, I believe the number of codes available to me becomes 10 * 9 * 8 * 7 = 5,040 (somebody please correct me if I got that wrong). I have almost halved my key space, but I have also eliminated many of the lower-entropy codes from consideration.

At the end of the day, did I help or hurt myself by doing that?

EDIT: Wow, lots of great responses in here. As a point of clarification, I was originally thinking less in terms of an ATM/bank PIN (which likely has an aggressive lockout policy after a number of incorrect guesses) and more in terms of other "unsupervised" PIN-coded devices: programmable door locks, alarm system panels, garage door keypads, etc.

The thing is, with a 4 digit pin, entropy isn't really important.  What's important it the lockout and the psychology of the attacker.  

The keyspace is so small that any automated attack (without lockout) would exhaust it almost instantly.  

What you're worried about is an attacker guessing the pin before the account locks.  So assuming a sane lockout (say 3-5 incorrect attempts), you want your PIN to be outside the 3-5 most likely to be chosen PINs.

Personally I'd avoid any 4 digit repeating sequence and anything starting 19XX which would be a year of birth.

Now smart alecs will say "ahh but if you do that the attackers will know not to try those", but that only applies if a) the majority of the user population follow that advice (hint, they probably won't) and b) the attackers know that the user population has followed that advice.

Some great analysis of this (link courtesy of @codesincahaos) 

Edit 2 - For a far more mathematical take on this I'd recommend reading @diagprov's answer
