I've heard advice falling on both sides, all coming from agents. Some agents think you should, some don't. What I did notice is that MG/YA agents tended to be more open to the idea of the story being a series than those agents who don't represent the youth markets.
Originally, I had a line in my query that said something like: Mindburst is the first in a series exploring the world of mindwielders, and should appeal to those who enjoy Scott Westerfeld, Jenny Nimmo, and Madeleine L'Engle.
Eventually, however, I took on the bit about being the first in a series. I can't say if it was better with or without, though. I think the responses I got were related to the content of the story and not whether I mentioned if it had series potential or not. I figured including the information wasn't helpful, and ultimately COULD be harmful, so it got yanked.