I always use a helmet, except if I am playing something like pond hockey where the puck doesn't get too high or just skating around.
Besides the good 'ole cup, I think the helmet is one of the most important piece of protective equipment a hockey player can use. I couldn't imagine playing a shift without one. The chances of having your skull smashed off of the glass or the ice is just to great.
And pucks to head scare me
though I am all for letting mature players choose their own equipment.