Never used one. Screen protectors, yes; cases, no.
I remember reading about people ordering custom-fitting $80 leather cases for a player that might last three years of daily use.
I like the surface of the Rio Carbon and the 2nd generation iPod Nano -- they don't really need cases for moderate use. My small capacity flash players don't need cases. If I carried around the Rio Karma, I'd probably use a case ... as it is, I treat it with kid gloves (figuratively speaking). If I carried around the 4th generation iPod, I'd use a simple silicone case -- I've seen them work well.
We get so excited about getting these (usually) great players, we forget that they're devices, not heirlooms. Most won't be working in three or four years, or if they are, the owner will have moved on to the next big thing ... so unless we're throwing them casually into a book bag or we tend to drop things a lot, I think cases are to a degree overkill.
People I talk to at work about their first iPods (OK, one woman has a purple Sony and one woman has a black Toshiba) are surprised when I remind them that built-in batteries have a finite life span and that other things can go wrong with their players ... I guess people get the more expensive cases out of wishful thinking that their players can last forever with just that extra bit of care.
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Sources (in order of purchase):
2nd Generation 10GB iPod for Windows (retired)
Creative Muvo 256MB (recently found the receipt -- over $100!)
Creative Muvo 1GB (out on loan)
Rio Carbon 5GB
Cowon iAudio 5 1GB (out on loan)
Rio Karma 20GB (low-mileage collector’s item)
Creative Zen Nano 1GB
Samsung YP-U2 512MB (out on short-term loan)
4th Generation 40GB iPod (monochrome; used as home jukebox)
2nd Generation iPod Nano 4GB
Creative Zen Stone 1GB
iRiver T60 2GB