The only time I've ever broken a chain was my SRAM 1/8" on the fixed, pulling off from some traffic lights up hill. Only broke one side plate though, so nursed it carefully to work and - as others have said - started carrying a couple of spare links in the seatpack. I have always had a chainsplitter on my multitool anyway.
Basically, on the risk assessment scale, a couple of links weigh nothing and as Deano says you're walking without them, so why wouldn't you carry them for anything other than trundling down the shops?