I almost always wear eye protection when riding the bike. I've scratched my eyeball a couple of times and it hurts like billy-ho.
I can be a bit fussy when choosing eyewear. Firstly, they have to be cheap enough as I can't seem to take care of them. Secondly, they have to fit well. This means trying them on. I don't like to be able to see the frame from the inside so I tilt my head around. They should fit snugly and not allow in too much light and debris from the sides and top. There should be a bit of a gap at the bottom though to allow sweat to run out and not pool up. Then there's the lenses. I like value for money so I often go for the glasses with the interchangeable lenses. Like someone said I believe the yellow lenses make me feel happier. I check the lenses for any distortion when I try them on. It's mostly true, but not always, that the more money you spend the more 'true' the lenses will be. I look to see if things are magnified or appear further away. And, finally, I don't want to look too much like 'Sport Billy' so I tend to shy away from the really flashy ones.
Shop assistants tend to leave me to it, and go and serve ten other customers while I'm faffing about.
I wouldn't wear ordinary shades when cycling because they may not be shatter-proof. Or they may break into long shards leaving sharp, pointy bits in the event of a collision.