Not only is it in the best interests of your health to wear shinguards, a referee should ensure that all players are wearing them.
Shinguards are available in a number of different materials, so it's best to try on a number of pairs to find which feel most comfortable for you.
You should be looking for a shinguard that will give you good protection but not restrict your movement.
A particularly popular type are those which loop around under the foot and are then held in place on the upper calf by a Velcro strap.
These will usually have extra padding around the ankle and Achilles tendon area, which is very beneficial.
Ankle protection is particularly important for a striker, while a defender will be best served by a heavier, and greater-protecting, shinguard.
Fibreglass shinguards will give great protection and are lightweight, making them a very good choice for youth players.
Plastic shinguards are generally the cheapest and still give good protection.