I must admit, I don't wear one, and never did before when I cycled in my teens and twenties.
When I did a paper round at about age 14 or 15, one of the other lads had an accident in very odd circumstances. He was on his way to the newsagents and cycling down a hill, when he went back off to sleep - having presumably just got up a few minutes before, slung some clothes on, and cycled off, not yet properly awake. He was incredibly fortunate as the road was quite rural and he went arse over tit into a mass of stinging nettles at the side of the road. Apart from stinging nettle stings, he was completely uninjured - but the moral is, that I suppose had he not been so lucky in the trajectory of his uncontrolled bike, a helmet might have been a life saver.