I always used to, everyone just assumed they could save your life, so we were all told to wear one. Then when I got back into cycling, I was reading up about how safe it is, and happened across a mention that the evidence that helmets can prevent death is extremely ambiguous. I looked into as many papers as I could find, and discovered that this was true, and in fact there is some evidence that it can worsen injuries due to rotational accelleration, and makes you more likely to hit your head, etc etc... Anyway, I decided to stop kidding myself that a styrofoam hat could save me from a >30mph impact with a car, and started going without. I noticed that I was riding more carefully, and that it was a lot more pleasant, with the wind in my hair and no buckles under my chin.
Anybody else a convert?