I think of the helmet like a seat-belt in a car: I figure it's more likely to do good for me than bad, and so it's worth it. In most cases, modern helmets (with the plethora of holes and angles) seem to keep my head cooler than no helmet, and from mountain biking (where a helmet has saved my head for certain on more than one occasion), it's become instinctual for me to strap the helmet on before every ride.

It really boils down to local law and/or personal preference.