Mixed results in this area. Some guys report success with them, particularly the targeted EDDM programs where they can pick and choose neighborhoods to reach. Others who just go with the cheapest program available and blast out everywhere don't have as much luck, and often get jobs (or customers) that frankly don't provide a good ROI.
I think they are worth the money. Make sure you are selective with the market segment you are targeting. Also, a good design is the key! Having an attention-grabbing EDDM put together with a reasonable promotional offer may be advantageous. I would target areas where your sales are low. You can start with smaller sections at a time and see if this type of marketing generates a good response for your business.