They are great for the peace of mind. I guess I am not careful enough, but each iPhone I've owned I get hairline scratches on the screen (only visible in sunlight).
They are not perfect, though. I ordered one one time and put it on. After watching all the key test videos, I was impressed, so I decided to test it out myself with my fingernail - result = scratch all the way across my screen. And on the 3G/3GS the back cover is nearly impossible to put on correctly.
They offer a service (I think it is like $10 + the price of the shield itself) for professional installation. You just ship them your phone and they'll get it back to you pretty quick and it'll be perfect. I'm not sure if it is listed on their site or not, you might have to ask about it.