This is a subject I've seen debated before. there are basically two points of view - it's worth having the filter on the lens to protect it all the time, and it degrades IQ. Plus with lots of lenses with different filter threads you have to buy lots of filters.
I've read very convincing articles for both sides of the argument. The only thing I would say is if you are going to use one make sure it's a decent one. Other than that it's down to personal choice, although I do usually see more people saying they use them than not.
I googled and found a comparison here -
http://www.pbase.com/jpeper/filter_compare
Also there is an article about possible bad effects of filters here -
http://www.luminous-landscape.com/co...m-feb-05.shtml
Personally I don't use them, if I did it would only be in certain conditions, for example when shooting at the seaside.