I have tried it on and off with my P4C 2.4. I have found that, in multitasking, my computer seems to respond a little bit quicker when it's on. But it doesn't show up on benchmarks, so maybe I'm imagining it, I dunno.
I think that was understandable since even with HT, there is only one processor core so it'll run just as fast as non HT processor when it runs only one task. When it is running multitask, HT help reduce the need to copy and store the processor registers before switching tasks.
Since Windows is a multitask OS and there is always something running in background, I think HT should help Windows run faster even in a single task application like benchmark, but the a speed difference in that case is too small to be measureable.
Now as a gamer, is the more responsive Windows and unmeasureable speed advantage when running games outweight the small possibility of badly coded low level drivers have bugs with HT.