I had 75,000 AA miles that I was able to book my freind to fly to africa. This was last month and on the way home it connected thru LHR, where she was able to stay in the trip at no extra cost. The taxes on this entire trip were about $100.
In return for booking this for her, she gave me points that will effectively enable my wife and 2 children and I to enjoy 6 days in Aruba at a hotel we could otherwise have not afforded.
All of this cost only some time and administration on both our parts, but really not much. Plus we enjoy the game!
This is where miles work.
Her plane tickets would have cost A LOT of money--ie, around $2,000 RT because of the destinations and time of year for travel.
On the other hand, when I am trying to grab some extra miles from doing partner transactions such as the WorldPerks mall and the miles fail to post, or some ticket needs to be booked before a certain date and I need to pay extra miles and money because the account was short, this gets a bit frustrating. Or, when United makes you be in the airport just to REDEEM a ticket for someone else if you try to book an award for them using a partner airline... Such policy cruches and glitches make it harder. In the end, though, I have won much more than I have lost.
The key to mile-ing is: It is a bit of a hobby and a challenge, and it is done because you like to travel and try to save money.
As said earlier, if those things are outweighed by one's inability to tolerate the game, it's not for you.

MM