I ordered my applecare + when I ordered my 4S through Apple. Apparentely Apple automatically updates your account showing you have the applecare + and will not ship out the actual box it normally comes in.
Wirelessly posted (Mozilla/5.0 (iPhone; U; CPU iPhone OS 4_3_5 like Mac OS X; en-us) AppleWebKit/533.17.9 (KHTML, like Gecko) Version/5.0.2 Mobile/8L1 Safari/6533.18.5)
I will take my chances without it. It seems that insurance is looked at as a necessity these days. It's a real money maker for Apple.
The odds of a mobile phone being damaged in some way are quite high. Check out all the threads here. iPhone is one of the few things for which I buy an extended warranty.