Not wearing a helmet is asking for trouble. As skilled a cyclist as you may be, you cannot control all the variables (pedestrians, motorists, etc). It is, respectfully, foolish not to wear a helmet.
Like anything else in life, they are available in a variety of styles and prices, some cost more than my first bicycle. The single most inportant factor is that the helmet complies with US CPSC safety standards.
Sports Authority has decent helmets for 20 bucks. You can find them even cheaper online at http://www.nashbar.com
Most cyclists will not ride with someone who is not wearing a helmet.
It really is a wise purchase.
Please contact me if you'd like specific suggestions.