Depends on vehicle specification and how close it is to the floor pan. But as Clanad mentions, the temperature of the Catalyst is in excess of 600 deg C so in most instances a heatshield is fitted.
My local exhaust centre [you can't get better....] tells me that unless you plan to drive slowly across tall dry grass then a heat-shield isn't needed. I guess that rules out most of us but I wouldn't want to put it to the test.
Even with a heat-shield, it is recommended you avoid any tall grass/dead leaves etc., incase of combustion. I wouldn't like to chance it that's for sure!