Personally find that sticking a helmet on an Argonian character breaks immersion to the point that I won't do it - to maintain any suspension of disbelief you'd have to pretend that the horns/spines on their heads are somehow collapsible (otherwise there's no way they would simply 'disappear').

Would be a minor quibble if the armour perk trees didn't require you to wear a helmet to get any benefit beyond the 1st perk...or do perks like 'Custom Fit' still work without a helmet?