Always, probability sez I gotta. 11 years as a messenger, 2 years USCF 2 years NORBA, endless training & recreational rides and I've yet to ride in a meatwagon or need a hospital, cept in an offroad race once, thing to do is crush your leg wayyy out in the bush make those paramedics work for a living, carrying you out on a backboard.
But I've had 2 helmets cracked clean off from initial impact, just as their designed to do. One time was during some intense riding, the other time I was rear ended out of nowhere (guy dropped his cig in his lap as he was about to pass me) at 39mph by a Jeep Cherokee type SUV thing. That time I was going to the StopNGo about 2 blocks from home about 2 years after beginning my no helmet no bike personal rule. I heard him coming, could feel his road position, everything was hunkydorey, then wham, nothing i could do, no way for my reflexes to account for anything more than my legs getting me in the air and above the grill with all that instant forward momentum.
I got outta that with lacerations, crushed quad, bruises, a new bike and a new friend (a cop cyclist) But I forgot to make the guy pay for my helmet, which broke in 3 places on a light pole 8 feet off the ground by the scrape mark.
Wind in my hair, free feeling yadda yadda yadda, that was 7 1/2 years ago that I wouldn't have had. I'd give up cycling altogether for 7 1/2 years of life if the choice were put to me. there's always friends, family, etc etc, Hell you gonna give up 7 1/2 years of sex, fun & rock n roll for that windswept look? More power to you, more for me when it don't work out.