Assuming you have it set to the correct language:
Pros:
It will often pick up on typos which you have overlooked.
It will give you a quick summary of errors and suggest corrections.
It can be overridden when required.
You can create a custom dictionary.
It no longer comes with a talking paperclip.
Cons:
It can make people lazy. There is no substitute for a good, old-fashioned proof-read.
It is not infallible (see the poem "Eye Halve A Spelling Chequer" at http://www.greaterthings.com/Humor/Spelling_Chequer.htm )
It's not very good at technical/specialist vocabularies.
It's generally useless at names.