I started asking my doctor about it last year, before I turned 40. He said that insurance company doesn't start paying for it until 40 and there is only a small chance of having an issue before then. He starts asking questions about your pee rate and whatnot at a much younger age, just to help the odds.
I turned 40 this year and got my exam. No big deal, but I sort of expected at least a dinner out of it. Cheapskate!