I've seen/read a few test reports and they seem to mostly conclude it's not worth it for the average Joe. The most recent test was done on the TV show Fifth Gear. Here's a video of that segment:
[ame=http://www.youtube.com/watch?v=knHeUF9JLzg]Fifth Gear on Nitrogen Tires - YouTube[/video]
If you don't feel like watching it, they did scientific and subjective tests.
In the scientific tests they concluded that normal nitrogen filling stations (as opposed to the expensive units used by Formula-1 teams with unlimited budgets) aren't up to the purity standards and didn't help.
On the subjective tests, the balance, ride quality, handling, and lap times were the same between nitrogen filled and air filled. So they couldn't see a reason to recommend nitrogen filled, and they concluded with, "if you're not checking your tire pressure regularly, you shouldn't be on the road at all."
On a personal note, I remember back when I used to live in a humid climate, if I'd let air out of the tire I could feel the moisture coming out. Now that I live in a dry climate I never notice the moisture out the valve. But the trouble is, even if you live in a humid climate, there's no guarantee the nitrogen filling station you use is actually any better in terms of lower water vapor than a standard air compressor.
Also, if you use your own compressor to fill your tires and you can feel moisture in the air stream, you can buy water vapor filters for it. There was a time when the water vapor in the air would cause rust issues with the TPMS sensor which used to have iron parts inside the tire, but they've mostly gone away from that nowadays.
The number one thing in my view is to buy a good pressue gauge (and you aren't going to get a good gauge for the 3 bucks the pencil types cost).