Headgear is a must-have when looking into sparring equipment. Most martial arts schools will require headgear during bouts; however, they don't often make mention of whether or not you should wear a facemask.
As you shop around, you'll notice quickly that helmets have varying degrees of face protection, from none at all to full plastic shielding. It begs the question, is a facemask right for you?

Facemask Pros
Let's talk first about the benefits of facemasks, most obviously the ability to avoid getting punched in the face. Very few individuals enjoy getting socked, and yet being able to throw punches and kicks with force and speed is essential when learning how to fight. Utilizing proper protection can save you from injury, medical expense, and pain.
There are some special cases where face protection is a must. For example, if you've suffered a jaw fracture or broken nose, or if you're an individual with braces, glasses, irremovable piercings, etc that might endanger yourself and your partner when engaged in fighting.
Facemask Cons
Many protectors involve a cage or plastic shielding that covers the face. To varying degrees these shields bring a striking target closer to your opponent. Think about it - your sparring partner gets a free 2-4 inches of distance that he/she no longer has to cover to hit you. Even though the helmet takes most of the force, it is still undesirable to help your opponent hit you.
Another concern is the added annoyance of having to strap on the mask (assuming it's separate) and fixing it whenever it comes loose. Some fighters like to simply throw on their headgear and get going with as little preparation as possible.
Final Word
I don't personally wear a facemask as the difference in distance would noticeably effect the way I fight. However, I have seen some individuals spared from great pain and maybe even hospital visits because of them. Choose what's best for you, and if you get the chance be certain to try both methods at least once.