Everyone that uses a notebook computer (or iPad for that matter) needs a protective sleevecase, chalk it up to a cost of ownership. Sleeves protect your expensive computing hardware from the inevitable bumps, bangs and drops that occur everyday in the real world.
The rare exception is the dedicated "computer bag" that has a built-in sleeve that precisely fits the shape and size of your notebook. The problem is that most computer bags with built-in sleeves were designed to fit most notebooks, and rarely fit any of them well. Especially svelte notebooks like the MacBook Air, which tend to swim around in cavernous cases that were designed for full-size notebooks. If your MacBook Air is floating around in a too-big sleeve (or bag) you're playing a dangerous game and risking a costly repair. Aluminum dents easy.
I've been using laptop sleevecases from Waterfield Designs for all of my PowerBooks and MacBooks for years. They have a custom fit, they're tailored to the device, they're highly protective and built from quality materials here in the United States (San Francisco, in fact). For the MacBook Air, I absolutely love and recommend the Smart Case ($79 for 11", $89 for 13"). Think of it as a sleeve plus.
The Smart Case is little different than the average sleevecase though. For starters, it's purpose-built for the MacBook Air (11 or 13-inch) and fits like a glove. In fact, it fits my MBA13 precisely (even a tiny bit snug) which is what you want. While it's easy to slide in and out, it's not so loose that you worry about your MBA sliding out when you're carrying it.
It features multi-layered padding and rigid, high-impact, inserts that protect your MacBook Air from impact and it has a scratch-free Ultrasuede liner on the inside. There's also a slim outside pocket that will accommodate a few pieces of paper, magazine or your passport. But that's about it. This isn't some bulky kitchen-sink-type catch all, it's slim, tough and all business.