I would offer up a moment where a filter did in fact save my lens... I was on a beach by a lake, and setting up for a shot across the water on a tripod. Before I had everything balanced correctly, a hornet (or some other abnormally large, scary, THING) landed on my arm. I felt it bite me and screamed, and unwittingly let go of my camera. The whole thing fell forward into the sand. Only a second or so later, once I'd swooshed said scary creature off my arm, I retrieved my camera to find the filter had been scratched to buggery by the impact with the sand. The lens was an EF-S 17-55mm f/2.8 IS USM, so NOT the cheapest of things to replace!! But luckily it wasn't damaged, but the filter most certainly was. In this case, it was a circular polariser, so not the cheapest, but I for one, was glad that I had only to replace the filter, and not the front element or entire lens! Would have been a different story without the filter.
Anyway -- in support of what others have said -- it is a personal choice, and will most certainly help protect the front of your lens as in my story above. But it doesn't have to be that exciting -- it could simply be that you are walking around with it slung over your shoulder, and you inadvertantly bash it against something!
I used to keep UV's on all my lenses for that very reason, but as others have also pointed out, it can have a detrimental effect on image quality. But I would argue this is only relevant to pixel-peepers and viewing at 100%. When viewed at a 'normal' size, you won't notice the difference.
The other thing to consider is light reflections at night. Lenses aren't of course designed to have a filter on the front, so bear in mind that the elements can reflect a strong light source back out and away from the camera. Normally this is fine, but if you have a cheap filter without the necessary anti-reflective, anti-glare coatings, the filter can then bounce this light back into your lens, causing unwanted patterns and light to be captured.
Just something to be aware of...
Right now, I am not using filters on any of my lenses, but always feel a bit bad about it, and am very aware of where the front element is whilst I'm out shooting ... I'm also a stickler for replacing lens caps even if they will only be on for a short while.. ;-)