I use a Power Support anti-glare film set. I do often carry a lot in my pockets (especially since I gave up on baggy pants years ago--maybe I need a manpurse), but I know that the screen should be harder than any of those things. Sand/dirt was what worried me about scratches, and since I work from home often and have been known to wear the same pair of jeans many days in a row, who knows what nasty particles might be hanging out in my pocket.
The first day I had my phone, I used it around the house naked, and I must say I prefer the tactile sensation of my screen protector to the naked screen. Plus, anti-glare is nice too. I also prefer my Incase slider (which works fine with the protector if you aren't sloppy putting it on) because I find the phone a little better shape to hold onto--and I know how pretty it looks naked but how much it would cost to replace my phone without a subsidy, it wasn't worth the risk (even with all the iPhone drop videos convincing me it might survive most drops). Also, it is safer in the ands of friends/family if I let them play with it. It would suck to have to deal with making a friend replace the iPhone they dropped; not that anyone has dropped it other than drunken me once or twice.
The other BIG advantage of a screen protector, is if you manage to crack/shatter your screen it could be held in place with the protector. I have a friend who dropped his 3G and even with the cracked screen it works fine since it is all held together with the screen protector. He even had it in some case similar to the incase slider and just had some bad luck: I think the face of the phone landed on a pebble, something that did not come up in the drop videos I saw.