I actually don't like to use the phone w/o something on it. I was using a Feather and then tried a Speck Candyshell. While I had the Candyshell on, I droped it 3 times in a week from table top heights. The Candyshell is not coming off now.
BTW - if you use a Candyshell and drop the phone on a corner, that sucker will bounce pretty high!
I have a Candyshell also. It's really the best case. I'm pretty sure that if it landed on a corner on concrete it would be fine. However, it's a very thin case as well. Plus the front ridge gives some protection to the screen if it landed face down.
The screen protector that came with the Candyshell blows. I put it on supercareful and in about two days, it looked like saran wrap would look nicer on it.
My last iPhone was naked. The black case got scratched up pretty good, but I didn't care. However, the supposedly key proof glass got a few gouges on it from the keys in my pocket. Those scratches were definitely noticible and annoying when you played games or watched movies.