Yes, completely worth it.
I was 37 weeks, with my 3rd pg, and it worked straight away. Apparently the success rate is higher with 2nd and subsequent pregnancies, and lower in 1st pg, presumably because your muscle tone is tighter. The risk of the baby turning back is apparently pretty small.
Find out what the protocol is in the hospital you're going to, and in particular how many ECVs they do. Ours (major London teaching hospital) reckoned they did an average of 2 ECV's a week, and the last time they'd had to do an emergency CS as a result was 4 or 5 years ago, which is pretty good odds. Make sure you're getting the most experienced person available -- there is a knack to it.
ECVs got a bad reputation many years ago when they were done 'blind', ie. without ultrasound to check the position of the placenta and the baby. Nowadays you will be extensively scanned and monitored before the procedure, and you may be put on a drip to soften the uterine muscles. This gets mildly unpleasant after an hour or so, as it makes your heart race a bit, but is otherwise harmless. Don't listen to the horror stories -- there are loads, and most of them come from people who don't know what they're talking about.
The actual turning is uncomfortable rather than agony, but is over very quickly -- they should have a protocol stating how long they will try for if the baby is reluctant to turn. The most painful bit is where the baby is crossways, unsurprisingly enough, but it was so fast that I was just getting geared up to make a noisy fuss (I am also quite wussy) when they told me it was all done.
If it gives you a chance of a normal birth rather than CS, it's worth it every time.