Generally it's always worth having, or rather it doesn't hurt and can prevent clickjacking attacks.
Of course it does depend on your usage scenario though. For example if the content you are creating needs to be displayed in an iframe (perhaps an advertising network) then you probably don't want to break out of the frame.
A good resource to read on the various approaches to implementing this can be found here.
One other thing to bear in mind that it can give a false sense of security somewhat, it's a bit of a cat and mouse game with regards to clickjacking attacks and defensive measures. Adding well implemented clickjacking protection to your site is great and definitely worth doing, but you'll need to review it periodically to ensure that it's still fit for purpose, like everything else when it comes to security :)