I've tried a few different screen protectors.
First ones I tried were ones that came with some styluses in a $5 Mad Catz package. A little stiff, and a little odd that it didn't completely cover all edges of the entire screen. But hey, I needed a quick fix for screen protection, as I had just gotten my DS Lite.
... holy crap, did it start to show scratches easily -- didn't take me long to want to replace them. (After doing some research, I'd heard about how good the Hori ones were -- but I couldn't find any places locally that carried them.)
Afterward, I tried some of the higher-quality screen protectors that you can get for PDAs, and I cut them down to DS Lite screen size. It actually worked pretty well -- until, having temporarily misplaced some of the official styluses, I decided to use some of the styluses that came in the Mad Catz package. And, er, the stylus actually started to rub off on the screen protector. So they started to get smudges. Great. Time to find a new screen protector. (And throw away whatever was in that Mad Catz package. Shame, too, since I don't like to talk too badly about 'em -- they had one of the better six-face-button Dreamcast controllers, I thought.)
I finally registered on-to Play-Asia and got the Hori ones. Oddly enough, they looked and felt just like the Mad Catz ones I had gotten, and wouldn't cover the entire screen in just the same way. But holy crud, did these end up being much better. Much more resistant to scratches (especially after some heavy EBA/Ouendan use), and it just generally looks nice on the screen, even if it doesn't cover it completely.
... I'm happy with the Hori ones.