The ones I played with did a great job, good quality and very effective, but they also give an EXTREMELY shallow depth of field and focal range.
I found I had trouble focusing unless I physically moved the camera closer or farther from the subject. That took some getting used to, but otherwise I was very happy with the results.
The problem with close up filters over other macro techniques is that they add more stuff for light to pass through. As a result the images quality degrades. The more you stack, the worse it gets. They're also known for being soft around the edges of the photo.
They're a good idea if you want to have a go at macro work but don't know if you want to spend lots of money on a set of extension tubes (some can be very expensive).
I have a set of Hoya close up filters (+1, +2, +4). Like everyone said, the DOF is very shallow so focusing is hard, the edges are soft and image quality is somewhat degraded. However, I still like them. The set was much cheaper than a macro lens and they get the job done.
For fifty bucks on Ebay you can get a "Wide Angle Converter" that can also be used for Macro work. I'm not actually certain that I have ever released this part of my secret here but ALL of my macro shots have come from this stupid cheapo adapter and I have had some great results.
YES the focusing can be extremely difficult at times but the magnification rate has got to be 1:1 or better depending on the lense you use it on.
Plus with this you get the benefit of trying a super wide angle.
The image quality WILL suffer, yes. If you are looking for total pro results you should buy a good Macro lens and a very high$$$ wide angle, but if you want to play around this is the best money I have ever spent.