I use IntenseDebate and am mostly happy with it. One thing to note is that it does have occasional downtime (Automattic's status page shows that in the last six days there's been two days with downtime). Also the comment system will take longer to load than comments built in to your theme which can sometimes be frustrating if someone goes to the comment form area before it's even loaded.
Comments are stored externally - you
no longer have 'possession' of the
comments on your blog - they are
stored by somebody else, physically
away from the rest of your blogaway from the rest of your blog
While some off-site systems do take "possession" of your comments, if you use the IntenseDebate WordPress plugin it actually syncs the comments into your blog's database. If IntenseDebate comments do fail to load (maybe due to aforementioned downtime), existing comments on a post will load using your theme's styles for comments and visitors will be able to comment using your existing comment form. Here are more details on how ID handles comments.
One thing to note is that since WP 3.0, there is a built-in function to load a customizable comment form using
<?php comment_form(); ?>and a variety of parameters.