I have been using DSLRs for a few years now, but never really played around with the internal effects. In some of the cameras I had they were pretty limited. Today I spent a few minutes playing with some in the Pentax K-x. It boasts eight in camera effects: Toy Camera, Retro, High Contrast, Extract Color, Soft, Star Burst, Fish Eye, and a custom filter. Some are fairly usefulness. The fish eye filter is a basic distortion filter, and any photo editor can do more. The Toy Camera and retro filters are like the filters you can find in some popular smart phone apps.
One effect could save you quite a bit of time in Post Processing; extract color.
On the left you see the basic snap shot. Nothing fancy, just a lot of colors. On the right you see the color blue has been extracted. There are six different colors to choose from (Red, Magenta, Blue, Cyan, Green, Yellow) with 5 levels of sensitivity.
If you are looking for this kind of effect, using the in camera filters may work for you, and save you some time. While not all of the in camera effects are useful, they are getting better. With the popularity of smart phone apps like Hipstamatic and Instagram, people will continue to want to easily add interesting looks to their pictures. We may continue to see improvements in the in camera effects available in new models.