I picked up an Eye-Fi card at Macworld, but I didn’t really get a chance to try it out until now thanks to the crappy WiFi connection and not having my D40x. It works exactly as advertised. I can take a photo and have it uploaded immediately to Flickr without using my computer, and also have it sent to a folder on my computer.
However, I find that I prefer just sending it to my computer, since not every picture I take is good enough to share, and I usually like to clean it up a bit before I upload it.
One nice feature is that it can handle losing the connection in the middle of an upload. If I take a picture outdoors where there’s no WiFi, it will start uploading as soon as I get within range of my network. If the connection is interrupted (or, more likely, the camera is shut off), it will resume when the power or connection is restored. Changing the camera’s auto-off timer (which they tell you how to do in the Eye-Fi help page) can keep it from interrupting the upload.