There are some people who always go barefoot, for instance Zola Budd ran barefoot and even competed in the Olympics barefoot. I knew someone who always went barefoot and could even walk over thorns without being hurt. Personally, I prefer to wear footwear at all times when I am out of bed, especially when exercising, unless it is a stretching type class, such as Pilates or Yoga, where class teachers often ask you to go barefoot. In classes where there is a lot of movement, such as aerobics, circuits, step, etc, I feel it is almost imperative to wear good footwear. For instance, even hands can get sweaty and slip, so with sweating feet, you could fall and get a nasty injury. Footwear doesn't protect you from ALL injury, such as twisting injuries, but it can certainly save you from a lot.