I just got the Iron Gym ("As Seen on TV!") as an early Christmas gift from my girlfriend, and I've already put it to good use.
As everyone knows (or at least should know), the chin-up is one of the most effective/important exercises anybody can do. Like the push-up, the chin-up primarily targets the arms, but it is also beneficial for most of the rest of the body. Aside from the biceps, shoulders, trapezius, the deltoids, and the lats (latissimus dorsi, the main thing worked by the chin-up), it also helps develop the abdominals and even lower back muscles. Also, since it's done (or should be done) mostly as a muscular endurance workout, it benefits the cardiovascular system.
Of course, you can find a chin-up bar for cheaper than the ~$45.00 that the Iron Gym costs, but most of those have to be screwed into the wall or door jamb. If you want to not put holes in the wall or door jamb (which was my girlfriend's primary concern), then the Iron Gym is great, as it basically wraps itself around the top of the door frame and can be pulled out and put back in any time.
Another benefit of the Iron Gym is that it can be used for other exercise. One can use it for chin-ups, pull-ups, push-ups, sit-ups, or dips.
I use it almost solely for chin-ups. One can effectively do push-ups and sit-ups without any such device, and dips can be done with a chair, or on the edge of a bathtub or bed. Pull-ups are kind of a weaker version of the chin-up.
Whether you use an Iron Gym, like I will from now on, or a cheaper bar, or even just go outside and find a strong tree branch, you should definitely be doing lots of chin-ups.