I have always bought screen protectors for iPod Touches and before that, the Palm devices. However, with the iPad, I didn't want to have to fight a larger sized cover, getting air bubbles out, aligning it correctly, etc. So I decided to go with no protector and bought a number of 3M microfiber cloths, as some have suggested. With a protector, I've read that some decrease the screens sharpness/brightness, others make the surface less sensitive to pressure, etc.
Going without a protector has worked out very well. Unlike a Palm with its non-hard, and somewhat delicate surface, the IPad has a glass surface, so I don't believe the odds of scratching it are as likely. What sold me on this was the fact that several reports indicated that Apple removed all iPad protectors from their stores, saying they weren't needed. I suspect there was another reason for this, but that was the deciding factor for me.