It never seemed to me like I had any need of an authenticator for World of Warcraft… until my wife’s account got taken. It was a fairly minor thing; she was able to change the password and customer service restored everything in short order, but she and I both promptly got our authenticators as a response. From that point on an authenticator became a default purchase for any game I had planned to play for a long time. As physical ones began to be less relevant, I still have mine on a little chain.
Heck, I’ve got a Star Wars: The Old Republic authenticator, and that’s likely a game I’ll never play again. But it makes me feel better to know that I have these things, that no matter what else happens these accounts remain mine. At this point most authentication is digital and free, you get nice doodads in most games for it, and you really have nothing to lose. So do you have authenticators for your MMO accounts? Or are you still not convinced you need one?