I would recommend that you do.
While viruses may not be rampant on the Android OS, who knows if or when that will be? It's better to play it safe than to be sorry, imo.
You don't necessarily have to pay for one either. There are several good, free ones out there. Also, some of the antivirus software out there provide additional features for protecting your device, such as Lookout Mobile Security. Norton currently has a free beta version of their antivirus software, and they offer call/SMS blocking. AVG also has free antivirus. Which one you decide to select would be based on personal preference.
Not necessarily, Android is not subject to viruses, per se. What could happen is you could possibly install a trojan app, there are some out there. These usually involve data mining or causing your phone to spam your contacts. You could install Lookout, which will scan any app you install to check for these, as well as some other features, though probably one of the best things you can do is read the comments on any app before you install it. Usually, if the app has any major issues, they will be revealed here.
Antivirus apps are just unneeded bloat imo. A better suggestion is to read the reviews and watch the permissions of an app. If something looks fishy, then it probably is. And if you install non-market apps, do research first and make sure they're legit before installing. Nothing can beat a little common sense.
As for lookout, it also allows you to locate your device and sound an alarm on it which is handy if you find yourself losing it often. I had it installed briefly but opted to go with WaveSecure which does locate, remote lock/wipe, etc since I got it for free during the beta period.