I read the natal hypnotherapy book and the hypnobirthing book (well, the bits I was interested in), and listened every night to the natal hypnotherapy CDs for the last 4 months of my pregnancy, and I had a really, really good birthing experiencing in the birthing pool, with very little pain (but a lot of hard work, of course!), and no complications/tears etc. I have absolutely no negative feelings about the birth.
I couldn't afford the classes, and knew my DH wouldn't really be into it anyway, so the CDs/books were my best option. In the those last 4 months, I went from telling people that I was going to go private with a C-section and all the drugs I could get, to being very self-assured that I wouldn't need any drugs and had no fear of doing it 'natural'.
I'm another one of those people who turned up at the hospital/birthing centre and the midwives tried to send me home because I was too relaxed to be ready to be there, but after insisting they checked found me to be almost fully-dilated!
Although we hadn't done the classes together, my DH was on board with what I was doing, and he knows I'm the type of person who likes to just get on with it in my own way, so even though he wasn't actually participating in any actual hypnobirthing techniques, he was there to provide just enough comfort and companionship that I needed, and let me do it all nice and calmly and quietly without asking silly things like 'does it hurt are you ok? can i get you anything?' etc.
I've recommended and loaned those books/CDs to 5 people now, all who have had positive experiences, although not necessarily as complication-free as mine.
So yes. Worth it, even if you can't afford the courses.