Really depends what kind of riding you're doing, and your skill level As the risk of falling off and how much it would hurt if you did changes.
I personally always wear one, because it helps me go bigger. (I use the term 'bigger' lightly) A sort of confidence booster, but if you're riding on the edge of a shear drop.. it's either going to go smoothly, or go reaaaally badly, like in Chris's case.