I've never been a huge fan of them.
For a game like Oblivion it has too much freedom (mind you this game is an extreme). It gives you no motivation to finish the main quest and I still know few real people that have finished the game. I like *something* that drives me to complete the game.
For a game like GTAIV I just get bored quickly. It's fun at first but the main fun of the game comes from the sandbox part and not the actual quests. So after I've had my fun of the sandbox stuff (stealing cars, killing people, blowing stuff up, ect) and get to the main quest the game just isn't fun because the beginning quests can't be nearly as fun I had when just screwing around.