Sometimes I wear one, sometimes not. If I am out on our local roads, I tend to as the driving skills around here are appalling. On the Marriotts or similar, I tend not to. I don't wear a helmet, quite often when riding a horse either (cue outrage from other horse riders on here) and neither do a lot of people, if they are honest.
I do wear gloves as my hands sometimes go a bit tingly otherwise. My head doesn't go tingly when I don't wear a lid though.
Last time I fell of a bike properly, I broke my collar bone. My head didn't touch the ground, until I laid down and made the tiniest fuss about riding back home again.