I love it. She ties together my phone, computer and tablet; keeps track of all my appointments, reminds me when i have to leave to get somewhere, traffic updates, etc. Shows on my computer or tablet when I have missed calls on my phone. I'm always asking for her to remind me of stuff - reminders can be time, location and people triggered. Yes, there are a lot of data being sent to MS to use Cortana, but...it's not kept on MS servers, it's only executed there. That's the biggest difference between Cortana and Google Now (and why I like it) - Google collects and keeps all your data on their servers. Cortana only sends what's needed for what it's doing and then sends results back to your phone/computer etc. I'm sure they keep stats on how you and others are using Cortana, but your personal info doesn't stay there.
How else do some of you use it? With out being at a keyboard or mouse I can ask her to play music, change tracks, call a friend, open a presentation. If all you do is check email and play games at your computer then she probably isn't very useful to you. I think you'll find in the near future that there will be a lot more connected devices around your house that you can control via you voice through Cortana.
As you can tell, I've had a lot of fun using it and I use it in my work and personal life. My experience has been very positive.