Helmets are cool. Get one.
Seriously though--these things will save your life over and over again. When you biff it, becoming a glorious lifesize human ragdoll cartwheeling down the side of a mountain, you'll be glad you purchased a helmet. The false sense of invulnerability you get from dawning a brain bucket makes your fear of slamming into hard ojects a thing of the past and in turn makes snowboarding more fun!
There is not a lot to helmets other than style choice, but there are a few things to consider; start by finding one that fits your head (it shouldn't choke you, and it shouldn't wiggle around on your head). Remember, you'll be wearing this thing a lot. Lighter helmets are better because a heavy helmet will start to strain your neck at the end of the day. Try to find a helmet that fits your goggles so there is no gap between the helmet and the goggles. You'll occasionally hear other boarders mention "gappers". Don't be one...but mostly, a forehead can get oddly uncomfortable while parting 30-50MPH below freezing wind. Last tip, get a helmet with a bill. The bill keeps snow from falling onto the top of your goggles and melting into them. If the water drips down in there you'll be fighting fog for the rest of the day.