They are good for rough estimates of download speed. But nothing beats doing a realworld download of some large file and measuring that. You generally should choose a location closest to you and you should run the test a number of times to get an average. It's also useful to use multiple speed tests.
Here's some others I've used at various times:
What I like about Speedtest.net is that it saves the results of all of your tests (I think in a cookie) and then you can graph them. A couple of months ago we were having weird network problems, and couldn't really decide if it was a real problem, and then I popped up my graph of tests and it was obvious that our network speeds had driven off a cliff a few weeks before. Manually pulling our dsl boards fixed the problem.
It may not be the most sophisticated tool around, but it does the job!