I use them when I send resumes by mail to companies. Though if I apply for a job through things like Monster and Hotjobs I don't. I don't think it really matters, though if it's a job you really want to get somewhere, it's always good to put in the extra effort to personalize it by adding a letter or email. I've gotten numerous responses to personalized emails I've sent when I've applied for jobs. If it's a company I want to work for especially. Though I've also gotten numerous responses when I've sent nothing but the resume off.
I think if you're sending it through monster it isn't necessary since the email the company gets with your resume has the info on the job you applied for. So they know already. You can save whatever comments you may put in the letter for the phone interview or email response you get from the company.
<IMG SRC="http://members.hostedscripts.com/randomimage.cgi?user=go2osirus">