I used a TENs machine with dc1 and found it reasonably effective (hard to say how well it worked as have nothing to compare it to).
This time round I'm hoping for water birth (lots of availability in local hosp); my understanding of a TENs machine is that it must be put on early and kept on to be effective. If this is correct, am I right in thinking it would be a waste of money hiring one as I plan to be in the bath at home and in the birth pool in hospital as much as possible?
Personally I didn't find the TENS effective anyway, but bear in mind they won't let you in the pool until you're in well-established labour, around 5-6cm dilated (the pool is relaxing and the worry is it might slow down labour if you're not far gone enough!) So you might still use the TENS at hospital before the pool, if there's time.
Remember the pool might not be available, in which case you'll be glad of the TENS. Also as orangeshortbread says it can be useful before you get to the pool. Get it on early at home - I was planning another water birth with DS2 but he arrived in a hurry (unplanned home birth) and TENS was all I had!