I can't bring myself to put a case on any phone I've ever owned. I like the look and form factor of what I buy, especially the iPhone 4 - this phone is just unmatched as far as looks and build quality go. Any case, no matter how protective or not, just makes the phone look too ugly to me.
The only device I've ever used a case with is my iPad, and that's only because it makes it easier to hold and carry. I have the Apple case, which feels amazing and doesn't let the iPad slip out of my hands. I take it to class to take notes with, and I also clip a stylus on the outer edge (the fold) of the case.