I've never used a screen protector. I've been carrying my Droid Incredible (with Gorilla Glass) around in my pocket, bare, for a year and half. The first half of that time, I was living in Arizona, so my screen saw plenty of sand.
The screen is still near-perfect. I have one tiny scratch that you can't see unless you turn off the screen and angle it just so. You know what it took to do that? A forceful 4-foot drop, face-down, onto broken concrete. If that's what it takes to make the tiniest of scratches, I can't imagine what it takes to do significant damage.
I think it's a waste of money. Apparently others disagree, but I honestly don't even know how I would damage this thing. The screen is very, very tough.