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Personally, I think it's a good investement. I like having a spot to grow macro algae and to maintain a good pod population. I'm not sure how it rates it terms of priority order (i.e. whether to spend money on a fuge or a Ca reactor) but it is something I would want to have at some point.
Benefits of the refugium are unquestionable. Since you can have an exceedingly good refugium for under 40$ (10$ for 10 gal tank, 20$ for a simple powerhead/pump, 5$ for a simple lamp and 5$ for plumbing and LR/sand) or even less if you make it a part of your sump, I would differ from John only on the point that fuge is not about the money, but about the space. Can you place it in or around your setup. If you can, then go for it. There are so many ways you can do it for a very small amount of money. For example, a simple HOB bio filter (like Penguin or similar) can easily be converted into a small external fuge. Just remove sponges and filter media and put some LR rubble and a bit of macroalgae, and voila ... instant fuge . Or if your sump is large enough, you can partition part of it (in various ways - bafles, independent compartments) and use that space.
While I completely agree with the previous two posts, I will also say that investment in a refugium is something you should do after you already have excellent filtration, skimming, circulation and lighting.
If you don't have the other items up to speed, a refugium will still help, but not as much as upgrading those other components.
To give an extreme example, if you want to grow SPS corals, but your lighting is only a single NO florescent bulb, no matter how good your refugium is, SPS corals are still not going to do well.
I'm only on my first reef tank (a 75 gallon), and I did add a refugium - with absolutely no regrets whatsoever. I used a 30 gallon tank, and converted that into 3 different compartments (#1 = skimmer, #2 = refugium, #3 = return pump). Building it was VERY cheap, and if I was to do it all over again, I'd most definitely only do it with another refugium.