Started cycling in 2004, stayed entirely on bike paths and did not wear a helmet.
Moved out into the country in 2005 and no longer lived near bike paths, so I had to ride on country roads. Due to the numerous reckless drivers going 20-30mph over the speed limit, I decided it was prudent to buy a helmet, so I did. Went with a cheap $40 Giro. It was annoying at first. Heavy, and low ventilation, so I was hotter than I was used to. A month later, for reasons unrelated to the helmet, I gave up on cycling.
Took up cycling again in May of this year, and wore the helmet from the very beginning. It did not annoy me at all this time. I have not yet been in a crash, but I still think it saved my life. Roughly a month ago, cycling down a country road, a large truck flew by me and ran over a rock, which its wheels picked up and flung directly at me. Since I had my head down it hit my helmet squarely on the top. I shudder to think what would have happened to my head without the helmet.
Used that as an excuse to buy a new, better, lighter, brighter colored (and matching my bike!) helmet, with more ventilation and a sun visor.
You won't ever find me riding helmetless again.