It really depends on how you use your phone and the environment around you.
About 80% -90% of the time I use no case at all. Not much is going to happen to my phone sitting on my desk in my office. If I am going hiking or geocaching, I use an otterbox to protect it somewhat against drops, water splashes, setting it down on rough ground/ rocks, etc. I also have a couple slim cases and a pouch that I use from time to time.
My wife on the other hand, needs a slim type case on her phone 100% of the time because she tosses her iPhone into her purse with keys and whatever else is in there. She replaces them pretty often, but for the most part her iPhones have always stayed in pretty good shape.
If you work or play in an environment that may be harmful to you iPhone, I'd go with a full protection type case to start with. You can always use a smaller/ thinner case of you find you don't need as much protection.