I won't ride without one. I used to never wear one (tuff manly man- grrr) but back in 1990, I was in a Hare Scramble in Hawaii, and my wife harassed me into wearing the cheap O'Neal one I bought for her "just for this one race". Well on the 4th lap, I crested this ridge top I had been over a 100 times before and while free falling the 20 or so feet down the cliff face, I was speared in the chest by a tree branch - maybe 4 inches in diameter and pointy at the end. It was one of those moments in slow motion, then your life passes in front of you. As I was picking myself up off the ground, coughing and wheezing, I realized the tree had not penetrated the chest protector. My ribs were broken and the plastic on the chest protector was cracked and broken, but I was alive - and though I lost a position or 2, I finished the race and trophied.
Now, I have a couple of them (backups). They are the cheap Ocelot brand. One thing I learned with chest protectors is that if you wear your jersey over the outside, it is a LOT hotter. You dissipate heat slower that way. Unless I'm at a regional (they require your name and number on the back), I'm sure to wear it OVER my jersey, though I've raced a lot with only the chest protector (no jersey) as well.