I wouldn't be without one. They're very handy for finding leakage on motor windings, as already mentioned, or testing for suspected moisture incursion, and so on.
Under British "code," an insulation test is also specified for all newly installed wiring anyway, so a megger is considered an essential piece of equipment here. Our "Regs." specify a 500V DC test voltage for all 1-ph 240V and 3-ph 240/415V systems.
I have a couple of portable meggers, switchable ranges and with test voltages from 25V to 1000V.
