Yes, it's worth it, the performance is better than the 360 if you tap into the true power of it although few too less games actually do. And you only download some games, not all, for like 5-10mins and thats it (except for MGS4 where you have to install EVERY time you enter a new chapter, even if you beat the game and start over, you have to in the first part again [you can only have one chapter installed at a time because it's that big]).
The game library is getting better and the PSN is good (no where near xbox live though so don't except that level of service). The exclusives are OVERALL better on the PS3 imho, although Halo: Reach is my favorite exclusive for either the PS3 and 360). You get MGS4, Killzone 2 (3 soon), Uncharted 1 & 2 (3 coming soon as well), GOW3, Resistence 1 & 2 (3 coming soon), Infamous (2 is coming out soon), Little Big Planet (2 is coming out soon as well and I know I sound like a broken record).