Yes, it does. I've been using it ever since I got my hands on Windows Phone 8 (I can't remember if this was already in Windows Phone 7, though). It's primarily useful to view information without needing to launch the app where the information is in, e.g. news, weather and social media apps.
I use MSN Weather in my lock screen so I can see the current weather outlook without even having to unlock my phone. Occasionally, I also use Live Lock Screen BETA and set it to display selected photos from my Photo Hub just to break the monotony of seeing weather images in the lock screen.
It all depends on what you want to see immediately without having to unlock your phone.
For a complete list of apps (among those that are currently installed) that can be used to display information in the lock screen, you can go to Settings > lock screen > Background.
Don't forget to click "open app" so that your lock screen will be updated, otherwise it will display some default system image (a white Ferris Wheel at night in my case).
Facebook
Twitter
Instagram