I know that it is the best choice for selecting variables for predictive models. I know that it is massively superior to stepwise model selection. Chris Volinsky's page is a great resource for doing these models in R.
But I don't speak R and I have been resisting for a while. It's the decade of SAS training -- I am so fast in SAS that it feels like I am walking through water when I switch to R or STATA. I can do it but the experience is unpleasant, to say the least.
On the other hand, it's the right approach for a project that I am looking at right now. So maybe it is time to bite the bullet and use a new software interface?