Stud finders are one of the best, but most unappreciated tools in a DIYer's toolbox. The real benefit of them is that they can find studs in your wall for hanging pictures, shelves, or light sconces.
This is a great step forward from the old method of rapping the skin off your knuckles, and then when you think you found a stud, drive in a finish nail to be sure.
The first generation of stud finders used magnets to detect drywall screws or nails. The next generation relied on checking the density in the wall (this is the kind I use since I use it quite often). The newer ones use radar technology to work their magic. How cool is that?
But if you're not going to use one often, make your own for just a few bucks. All you need is some mono-filament fishing line, a magnet, and a dab of hot glue or piece of tape. Just glue a length of mono to the magnet. Then, holding the end of the string, move it horizontally across the wall (and maybe a bit up and down) and the magnet will alert on a screw. Check out this magnet stud finder video.
The only caution is to make sure you found a stud, not a metal pipe or conduit. Just check up and down to be sure you intermittently find "positives." A pipe won't be discontinuous. Check horizontally as well, just for good measure.