This is a fully featured CRM, and therefore its big, and requires a lot of configuration. Bear with it: use their forums (which are busy, and have good answers provided quickly in my experience) and you will get a component which is excellent. A lot of the installation woes people - myself included - have are as much to do with their hosting not coping with a demanding package as with CiviCRM itself.
As others have said, this is really a Drupal module that works on Joomla, and there are times when it shows - but again, Drupal has an ACL system that works, and Joomla 1.5 doesn't - doubtless when J1.6 finally surfaces CiviCRM will start getting more positive comments here.

Definately worth using this module, but don't expect to have it all working perfectly in only a couple of hours.

I now have several instances of this on my site and it is very useful for pulling pictures out of Coppermine (a bridged instance) onto other pages for some updated photos. Very handy.

Other reviewers have said how important it is to read the instructions on the site, and I'd endorse that, but its actually less complex to install than you'd think when you first read them. It works well for me and some of the extra instructions about the interaction with Community Builder were particularly welcome. Very helpful, thanks.