I have used the TSA-approved key locks (not the combination ones, anyway) a few times with mixed luck. The screeners at DCA told me I'd have to wait with my bag for them to inspect it "since it was locked," and it took me a few tries to explain to them that it was a TSA lock they could open without needing my help (of course, the guy also kept trying to take my carryon, to which I kept having to say, "No, I'm carrying this one on!" Go figure.)

Aside from the screeners beeing confused about the lock--even though it has the big TSA symbol right on its side and a big "TSA 001" next to the keyhole--I haven't had any problems with them. The times the bag has been opened, the lock was still there and was closed just fine, and there have been times they apparently didn't open it at all. I've been lucky--my fiancee's bag had its zipper nearly ripped off with a TSA-approved lock on it (the lock never showed up, nor the zipper pulls, and one of the plastic TSA bag "locks" was on it when she picked it up at bag claim)