I find it very useful! I do like seeing how many unread posts there are, and it's nice to be able to bring all the threads with unread posts up just by clicking that "unread posts" link. Someone who registers on the site today may have a couple thousand unread posts, so I added that link right in that same box to mark all posts as read right away, if they choose. Posts that someone hasn't seen only stay unread for 30 days; after 30 days every post is considered "read".
Also, when that list of threads with unread posts come up, that green arrow to the left of each thread title is a direct link to where you last were in that thread; it will take you to your first unread post:
With most browsers you can right click on that arrow, and open it up in a new tab. What I typically do is quickly open up every unread thread in a new tab each, then go to each tab to read 'em all...