I always wear a helmet, just like I would not drive a car without seatbelts or airbags. Personally, I know two people who have sustained life-changing brain injuries while cycling without a helmet. I have also witnessed a few crashes of friends who were wearing one, and came off unscathed. Of course, this is all anecdotal, but I will never forget the sight of my helmet wearing young son riding in front of me, and who came down head first and crashed into the concrete kerb of the road. He had no injury whatever, even though it was the kind of hit that would have cracked an unprotected skull.
As for comfort, fit is the most important thing. I need a large one, and the Giro Atlas XL is the only one that works for me. Ventilation is the second most important thing. Modern helmets have many more and larger vents than older ones. They have also become rather lighter. By and large, with more expensive helmets you get more ventilation and lighter weight. If you want the safest helmet, get one that meets both the EU standards, and the american ones (many do).