IMO there are helmets so light you won't even notice that you're wearing one. but they're typically very expensive.
like someone pointed out on this forum, your body is pretty good on its own at guessing where parts of your body are in relation to each other. so if you hit the ground it instinctively knows how much to tense your neck so you avoid slamming your head, among other things. it's not perfect but it does the job for most situations. it depends on your activities too. i used to break dance so i'm used to falling in almost every way possible.
there's also that catch-22 where increased safety is correlated with increased risk-taking. they've done studies on it but you can see it on the forums here too. i personally would not have put myself in a situation a year ago to get a concussion if i didn't have a helmet on, but it pretty much saved my life.
of course, if your body is not aware of a rock being there you're all kinds of fucked. in that case a helmet will probably be helpful.