The glass on the iphone 4s is extremely strong - I watched a demo where the guy in the shop pressed really hard with a key on the glass and did not do any damage to it. So really you don't need a screen protector.
However, I would be very annoyed if the glass do chipped or scratched in any way so I have always used a screen protector - I am also quite a hard user of the phone.
Unfortunately, there are a lot of very poor screen protectors about and they do reduce the visibility and/or sensitivity of the touch-screen. Having tried many on the market (and I mean many), the best one by far is made by Power Support. These are sold in Apple Stores and work very well. Once it has been carefully put on, you would not know that it is there other than the fact that your screen is now has a bit more of a matte finish (which is better as it reduces reflection). In terms of touch sensitivity, you really would not know that it is there. These protectors are not cheap but then again, neither is your iPhone. They also last a long time. Mine has now been on my iPhone for over 1 year and it does not show any signs of wear. If you want a reallly rugged screen protector then use one from Invisible Shield - more robust but not quite as neat as the Power Support one.