In my experience, radar detectors are a mixed bag - some work and some don't work well enough to prevent a ticket. Generally, the more expensive ones work better (Valentine 1 and Escort), some of the cheaper ones don't give enough warning. Radar (including Laser and other more sophisticated poiice devices) has come a long way from the old "point and shoot" radar guns. Car mags often do tests on radar detection devices and rate them - search around.
As to legality, it varies by province and state. In BC, I "think" they are still legal (get more up to date opinions on this). Bear in mind, legal or not, if the police stop you and you have a radar detection device visable, you're in for a rougher ride than usual.
I used to use a windshield-mounted Escort, but found, over time, it was not effective against today's police equipment. I never bought another one. Many devices also give off false signals so they are a bit of a pain in the butt IMO.
I go naked into the world these days..
