I do now. Didn't use to but a keen cyclist friend said that a friend of his came off his bike - body intact but head smashed on the pavement. A cycle helmet would have saved his life. Like Shinkecker says - not worth the risk.
Always, and all reputable cycling events in the UK require you wear on.
I think there's some misconception by some people that they offer protection in the case of getting hit by say a car, which of course they don't. As long as you understand the extent and purpose of the protection they offer (outlined by sadly by Temirah), then you'll never saddle up without one.
Because my mother worked with brain injured children, I was the first and only kid in town wearing my bright yellow helmet. Oh the embarrassment, I felt. I'm glad that to see nearly every kid wear them nowadays (thanks to education and local laws) Of course, as an adult rider I wouldn't think of riding without a helmet. Just like I wouldn't think of paddling without a PFD. It's all about managing the risk we find.