If your case came with one, don't spend the money to get another, unless you really don't like it. In that case, get a Power Support Crystal if you want the colors to look as good as they do without a screen protector, or Anti-Glare, to reduce fingerprints and, umm glare
P.S. I've heard good things about SGPs screen protectors too.
I can't rave enough about the Steinheil Crystal for iPhone 3G. I've been using their version on my iPod Touch for about six months and they are great!
Easy installation, no bubbles. I'm a photographer and often use my iPhone to show off client pics so I want the film to be really clear. This fits the bill. No one can even tell I have a film on.
Only con - shows fingerprints, but wipes off really easily. Films hold up to lots of use.
I'll keep Steinheil films on all my stuff from now on.
ETA - service is really quick from the SGP store. I ordered Sat and had them by Wednesday,