I prefer to play cash games at sites that they don't work on. I also read an article that Microgaming is shutting down compatibility with them in an attempt to capture more casual players.
It is now almost a necessity to use them when playing cash games on Stars and Tilt. Personally, I feel it to be a form of cheating, if they are used to help you plug leaks in your game that is fine, but the data mining of players gives the users a huge edge on the competition.
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"If you shoot for the stars and hit the moon, it's OK. But you've got to shoot for something. A lot of people don't even shoot." - Confucius