Yes I've done it, although embarrassed to say I never actually completed it all the way through 
I think it is good as a starting point. It does help you to recognise unhelpful thinking patterns / thought errors, that you may not even have realised were errors before.
It gets you to think about scenarios that have been triggers for dips in mood recently and to analyse how your thoughts in response to what happened, affected your mood.
It is quite eye-opening, and CBT has been shown to be very effective,
However, I think internet based CBT is limited. It is good for mild depression / anxiety I think, but as in all these things, you get out what you put in i.e. if you only put in minimal information, you don't get much helpful information out. However, if you really work hard at it and think about your answers a lot, it can really help.
Unfortunately with depression it can make you very apathetic / low in motivation / low in energy, and I suspect their MoodGym completion rates are very low for this reason.
By all means give it a go, but I wouldn't give up your place on the waiting list for CBT with a face to face person, just yet.