I've had blonde highlights for several years (using peroxide). I get them done at a salon by a hairstylist I really trust, and I only do them 2-3 times a year. Overall, I've found that I really like what it does to my hair -- I have fine hair and this gives it some texture and boosts the volume. As long as I am careful to condition well (and I must admit I was using the TIGI "Dumb Blonde" conditioner until recently...before I knew about cones) I think my hair actually looks *better*.
So I guess it partially depends on what kind of hair you have. For a little more info on why those with fine wavy or curly hair might want to color it, click here: http://www.naturallycurly.com/wavy/fine-curlies
(The crux of the article: "Coloring the hair is recommended because it roughens up the cuticle. The color also adds shine, causing light to bounce off the hair, not the scalp. This makes the hair look fuller.")
Fia system: 2c/3a, F, ii. (fine, delicate curls/waves that need encouragement or they'll fall flat)
**After years of mostly straightening, now I'm trying to find a routine that will encourage the curl, add volume, give some light hold and not weigh it down. Suggestions always welcome!