I agree with the earlier posts that they are a fun break from the needles when your hands/arms get tired. They certainly won't replace needles because they definately do work best with chunky weight yarn since the diameter of the pegs is unchangeable.
I would disagree that it is cheating. I think it is just another tool that has its own limits (as does any other type of knitting tool).
I will say that the directions that come with them stink! Go ahead and spring an extra buck on one of the pattern booklets (you'll also get more ideas of things to do with the looms). The Provo-craft website http://www.provocraft.com/video/index.php#
also has a great video that shows how to get started, but the book goes into a little more detail. I like the Volume II book from Provocraft; I thought it was a little more up to date.
Finally I paid more for mine from Joanne, I should've gotten my set from Michael's - they were about half the price in their store than than they were from Joanne.com (since I'd already used my 50%off coupon on something else!).