This plugin is easy to install and set up, and works great.
With all the hack-rats out there running bots that scan for WP-Login and WP-Admin so they can start pounding sites with brute force attacks and sql injection attempts targeted at the login screen, you can save yourself a massive layer of headaches and alleviate some pressure on your server with this one simple, elegant little plugin. I've been installing it on all the 3.9+ sites I manage, and it works like a charm. I'll add that it doesn't interfere with WordFence security (I'm not sure about other firewalls), and the two working together in combination go a long way toward hardening your site against the most common attacks.
The one incompatibility I've noticed is with Woo Commerce, but it's not a deal-breaker. On the WooCommerce sites I run, when Lockdown redirects from WP-Login or WP-Admin to a 404 Page Not Found page, some php errors get thrown and the css breaks. This can be partially remedied by making sure you're not showing php errors (there are good instructions for this in the WP Codex), but it should eventually be addressed by the developer. Sean, any chance you might take a look at this sometime soon?