YES they are DEFINITELY worth it. It's such a different feeling from silicone or plastic. It has more weight to it and can be temperature-controlled . Plus, they're just freaking pretty.
Are you looking for a cheap first glass toy? If so, I would suggest the Rainbow mega nubby
link or the Cyberglass four-way G
link . I haven't tried either of them, but they get good reviews and they look good. In my opinion, you shouldn't worry much about which one you get, because it's really hard for glass toys to go wrong. The main question you need to ask yourself is: do I want texture? I personally find the bumps on my glass dildo to be the best thing ever, although they can be abrasive at first. You also should ask: do I want it to have a head? a G-spot curve? Then you can narrow the field a bit more.
One thing that I appreciate about my dildo (which, by the way, is the expensive Gold ribbed love wand
link -- there's a review of it on my profile) is the fact that it has a bulb at one end to grasp. Makes it a lot easier to get a grip on it.
I would say, if you have the money, go for a $40-70 glass dildo. It will last you forever, and make you feel like a queen when you use it.