I've had my 3GS since opening day, keep it in my pocket with a simple
leather ultra-case, and I have no scratches on the screen. I had one on my 1st gen iPhone and asked the rep if I needed one. He pulled out his keys and said "don't try this at home" and dragged it back and forth on a new iPod touch model and said -- you don't need one. I went with it and it seems to be fine.
I found that the cases and screen protector changed the feel of the screen (at least on the old model where I used one). If you are nervous about it though it doesn't seem like it can hurt and it's pretty inexpensive as a % of the phone.