I used to use one all the time. I had a more feminine version for Christmas (Polar FT40f) which I'm going to try out in a few mins. They're much better now - you can change batteries yourself without voiding the warranty, and there's a gadget you can buy to sync with your PC.
I used it for all exercise except swimming, but I'd be happy to use my New one in the water as you can replace the waterproof seal.
Very motivating to see weekly calorie burn increasing and resting heart rate going down.