It's not common at all. I've seen it plenty at unsanctioned local shows (though plenty is still five out of 30 riders wearing a helmet.)
I've seen a few riders at sanctioned barrel races wearing helmets but it's certainly not the norm at all. Rodeo's don't not allow it. It's just not popular.
This is having ridden in various parts of the country and over in NZ (Though, they all rode with helmets and it was more gaming than a pro rodeo :))