I'm using a zagg screen with the seidio brand surface case most of the time, which isn't too bulky and has a nice feel. If I'm doing anything that puts the phone at risk, I have second, shock absorbing layer I can add.
I opted not to pay for insurance, since to cover mine and my wife's phone, we'd pay about 15$ per month. I figured that in a lifetime of owning phones (and laptops, etc.), we are only going to break so many, but we would shell out enough in insurance premiums to buy the ones we break and then some. And just because you phone retails at $600 doesn't mean you have to replace it with a $600 phone...