I had one for my first birth, and was grateful for it.
Good bits: It brought down my (startlingly high) BP
and I could rest a bit.
Bad bits: It gave me terrible shakes, I was out of it but still groaning with every contraction, and it put me inextricably into a situation where birth was done 'to me', not 'by me'.
Midwives ignored me from the time the epi went in until the end of their shift as they knew nothing much was going to happen for a while (labour slowed right down). I wasn't in agony, but I was still scared. But got no further support from them.
In the end I had to have syntocin as well, and DS ended up as a ventouse delivery, which I swear gave him a terrible headache, and he cried and cried and wouldn't feed for the whole of his first night of life. Not a great experience on a postnatal ward with nowhere else to go.
So basically, epidural was medically wonderful, but somehow a miserable experience.
Second birth was a home waterbirth with no other pain relief than TENS and warm water. And it hurt far less.
I don't know if it was just one of those things, a 'first birth' thing, or a fear thing that made DS's birth so hard, but I've come away with the idea that it's better to learn to be calm, to breath well, and to feel supported than to need to rely on drugs. For me, anyway .