We're joining a CSA for the second time this year. We're in Canada, which obviously has some growing-season related challenges, and it's a little pricey. However, for truly local (the farm they're from is 5km (~3mi) from our house) and organic veggies, plus knowing that I'm supporting "the little guy" - it's just a couple acre farm, run by like 3 people - I've decided it's worth it. My sister went in on it with me last year, which helped cost-wise, but it wasn't worth it for her - she just couldn't get her family to eat such a wide variety of vegetables, and had trouble figuring out what to do with it all.
I'm a little nervous about getting a whole share this year - we do eat a LOT of vegetables, and have no problems trying new things! But I suspect we'll still end up giving some of it away. We eventually want to homestead though, so getting used to eating exclusively seasonally and the kinds of foods that can actually be grown in this climate is an important skill for us. (We do garden a bit ourselves, but we're renting, so have to use existing beds, and there's just not a ton of space. We'll get there, but it's not possible to rely on that for a very large percentage of our veggie needs at the moment.)
Moral of the story - love the concept. Wish it was cheaper, but believe it's worth it, nevertheless.