The flu vaccine contains a "dead virus" so you cannot actually get the flu from a flu shot. (People sometimes tell stories about how they went to the hospital to get a flu shot and ended up with the flu, but in reality they probably got exposed to a flu sufferer in the waiting room, or something!)
So think of the flu shot as extra insurance. The best thing you can do is what joanj recommended and keep your immune system healthy through exercise and eating right. But if you have kids or work with kids (and you know how kids with their developing immune systems are always catching the flu), it wouldn't hurt to get a flu shot as extra protection. But otherwise, it may not be necessary if your immune system is in good shape. It's your choice.