I use SF's all the time actually because quite a bit of my library was created by me. I first sampled all the sounds I wanted to use, made them the correct level etc and used Creative's Vienna software to turn them into SF's. There is now another version of Viena (1 "n" I think) that you can download for free that works just like the Creative version and even looks like it that can be used on XP and Vista. From there, once they are saved into SF format, I can run them into sfz or Live Synth Pro which was what I used before sfz was a part of Sonar.
Of course I just use most of these for quickie ideas these days, or maybe for a piano or synth sound, but I have loads of drums as well. The thing that pretty much stopped me from using them as much as I used to for drums was the ability to load my samples into Drumagog and even BFD 2. This opens up more doors for individual tracks etc. But yeah, they still get quite a bit of use here on this end and if you create them good enough, they can sound incredible. I've actually had better luck with the ones that I've made vs. the ones you pay for. :)