If you've got a disc with it on there, absolutely use it: you've already "paid for it"!
If you're REALLY anal-retentive (like me), DVE (Digital Video Essentials) and Avia can be found at many big box B&M stores (BB, CC), and cheaper online (around $20).
Some words of caution with these:
1) Avia is much easier to use, especially after the first "full run-through" (e.g., going back to review specific patterns, etc.), but is somewhat less comprehensive than DVE in terms of total system calibration on the video end of things;
2) DVE has more professional-end calibration screens (for grayscale, RGB, etc.) AND comes with a 3-strip color filter for really accurate color/tint adjustment (can't remember if Avia includes one) that can also be used with the THX optimizer color screens for quicker adjustments. This is VERY nice. BUT its layout and navigation is a total mess if you want to come back for a quick adjustment after the first run-through; on that count, THX Optimizer and Avia win. The upside to DVE is that its "full run-through" is INCREDIBLY thorough: not only taking you through each adjustment step-by-step, but talking you through each, and also telling you why each is important and how one setting (say, contrast) can affect another (say, brightness). But with DVE (to a greater extent than with Avia) you'll have to block off a couple hours to get through it all in full: it even goes through the history of home video, differences between analog and digital processing, etc. In other words: cool stuff, but stuff you may not need or have the desire to watch to simply calibrate your set.
3) Unless you have a SPL meter, there is little difference between how useful DVE, Avia, and THX Optimizer are in helping you set speaker levels. All let you know whether you have inverted speaker polarities (checking for out of phase speakers), and all provide a white-noise test tone (which most receivers do anyway, and is my preferred way of setting these levels: there has been a lot of discussion around the fact that each of these calibration discs' sound test patterns are slightly different, so best to adjust this from the source itself). In short: the sound calibration features across these methods are not the reason for the more or less casual listener/viewer to run out and spend the extra $.
4) If you go the DVE route, be careful: some online and B&M merchants are still selling the old "Video Essentials" DVD, which is outdated (it was mastered from, and speaks more to, calibrations for Laserdiscs than DVDs). If it has a black cover and snapper case, don't buy it. If it has a grey/silver cover and a clamshell case, that's the one to get.
5) Finally, if you want to go REALLY nuts, there's a third option that in some ways is superior to both DVE and Avia: HQV. You can get it directly from HQV's website for around $25. They also now offer a version for HDDVD and BluRay -- if either of these are the sources you're using, this is the one to look into. As I'm still stuck in SD land for the foreseeable future, I can't vouch for it personally. But the fact that most professional review sites use it for calibration and testing of HD sources should tell you something.
So: brain exploding yet?
Simpler: Absolutely use THX. If you're feeling up to it, either DVE or Avia would be good step-ups (there are more comparisons between the two online, so you can get a better sense of which would suit your needs better; the fact that DVE comes with the color filter, for me, makes it the worthier tool despite its buggy interface). And especially if you're using an HD player of whatever variety, get the HQV without reservation.
Hope this helps!