I use a screen protector (Steinheil Ultra Crystal). Put me squarely in the "It's easier to replace a screen protector than the entire screen" camp. When I had the phone naked for the first week or so, I felt like I had to baby the phone to protect it. Now, with the screen protector + Otterbox Commuter case I just use the EVO without worrying about scuffs and scrapes.
No doubt, the phone looks way better naked, but I like the fact that I don't have to worry about scratches and such. That peace-of-mind is valuable to me...