Yes, beer is indeed generally supposed to have a head. The foam can add to both the flavor and the texture of your beer. It is preference for sure, and if you don't like it, then you don't like it, but I'd encourage you to try it from time to time with an open mind. The head of a beer is quite complex, consisting of proteins that are acted on by the hops, the yeast, and the carbonation. Because of the complexity, creating the perfect recipe for foam in a beer is something the brewers spend quite a lot of time and energy on, and it's a fairly integral part of a good beer.
Note that there are exceptions. Truly non-carbonated beer, like Samuel Adams Utopias will not have a head. Hever, from what I've read, that specific example is probably more closely comparable to a fortified wine than a common beer in any case.