Over here in the Netherlands you have to wear a helmet for riding a moped. You don't have to wear one for the types limited to 20 Mph. If you get caught here by the cops without a helmet it'll cost you about $100 and in the meanwhile they'll test the power output of your moped. I always wear my helmet, not just for the cops. Hey, I even wear a leather motorjacket because it's safer and it looks really cool on my moped. Untill now I've been in a traffic accident twice (not my fault either times) and I am totally convinced that a helmet is worth it. If you're going to get a helmet I suggest you get a good one, not just the cheapest mopedhelmet on sale. There are great differences between mopedhelmets and motorcyclehelmets, the helmets for mopeds are designed only for speeds up to 30 Mph, the motorcyclehelmets for much higher speeds. And besides that a motorcyclehelmet is much more comfortable and has a much better airflow inside the helmet to prevent a fogged up windscreen and give you more fresh air.
The cheapest helmets around will cost about $80, the helmet I have now is a motorcyclehelmet and costs about $150. It's a HJC (American brand!) type ZF7, I can really recommend it.