I use a bag at all times. First of all, I take both my boards with me and decide which one to use based on how the slopes look. I'll break out my Anthem if it is melty and cruddy. My bag has a plastic separator so the boards don't scratch either other. My second reason is that I also take my wife's skis and I don't want them dinging my board up on the ride. Plus, it just makes my stuff easier to keep together.
I love my snowboard bag and use it all the time.