I have one very simple part on there that was my first attempt at 3D modeling. Since then I have bought a 3D printer, and for most things I believe the printer is the better value. The Shapeways parts do look nicer, however, and there are choices for materials that you can't 3D print. This tool, I 3D printed the bottom part myself and had Shapeways make the top part in metal (Polished Bronze Steel).
It depends on what you're doing, but they're a great option to have. They are very easy to order from, and prices aren't too bad. Since they are custom making items for you, it does take a while.