I haven't had a screen protector yet, and have had no need for one. Unlike the Treos and Palm Pilots I've had in the past, the iPhone screen is rugged. I carry it around naked in my pocket, rattling around in my pocketbook, and, maybe if I'm feeling really on top of things, I'll stick it in an iPod Sock. With all that, there has been nothing that a quick rub with a shirt, a napkin, or anything else relatively clean hasn't been able to clean off.
If it's really smudged with makeup or lotion or something like that, plain water or even my breath can take care of it.
I don't think I've ever even taken the microfiber cloth out of the box.