Done properly a press release has immense value. Done incorrectly...well, lets just say it's better not to send one out.
Some tips & comments from sending out several press releases over the past few years:
1. Get the message clear and the content correct. Saying, "we're great, the competition sucks", won't work. Have a message that people want to read, and make sure it's well written English. If you have to get a friend to do it, or buy the services of a professional, then do so.
2. Sites like PRweb.com can do an excellent job of distributing your press release, but you can also send it yourself to press organisations. For example, we released a press release yesterday and I sent it to 20 local online business publications. I've not checked yet, but at least 6 of them have the press release on them now - and that cost nothing.
3. Free press release sites are also useful. It just takes work to go through them all.
4. Sometimes it's worth using paid services, especially if it's a large announcement or something extra special.
5. If you get a press release on a higher PR site than yours it will help your SE ranking. Might not help much, but hey, every bit helps.
6. The more sites carry your press release, the more chance you'll have of click throughs.
For a little bit of effort a press release can go a long way for you -and they "stick".
EDIT: *shameless plug

*
this is the press release I sent out yesterday. It was written by myself, and this one is posted on our site. The release made it into 3 of the top 4 local sites it was aimed at. Hoping it gets into the other in the next 1-2 days.