I always always always put filters on my lenses. Simple UV protection filters are a wise investment. Buy good ones, not the cheapest ones - you just spent a lot of money on a lens, why would you then want to put a piece of cheap glass over the front of it? Anyway. Why do this at all? Simple. Filters protect your lens. When you drop it face down on a rock, it's a lot cheaper to replace a filter than it is a whole lens.
Here's a perfect example.
Read about this little accident over on photographer Ian Pack's blog. It's sound advice: http://ianpack.blogspot.com/2010/06/lens-protection-filters-and-why-you.html