I used to use one (right now the battery is dead). I really enjoyed it, because it's like having a trainer on your back telling you when to speed up or slow down. I have a Polar mid-range model, nothing fancy. You can set an upper and lower range, and it'll beep when you're too high or too low. I don't pay too much attention to the actual numbers, just staying in whatever range I've set.
I'm happy with the Polar, but I just read about another kind that's just a wristwatch. It doesn't have a chest strap, which can be annoying.