This plugin started well, has remained stable and effective, and continues to be improved. The recently added feature of live, distributed protection against brute-force attacks is just plain wonderful. It has proved highly effective in protecting my sites against the surges in opportunistic WP botnet attacks in recent months.
The other features are all great too. I highly appreciate the level of control and customization allowed in the settings.
Overall, I highly recommend this plugin. In fact, given all the security threats nowadays, I wouldn't want to self-host without it.
PS: A tip regarding speed that I picked up from the developer and that has rung true in my experience: regarding loading speed/optimization of your site, running WordFence should not make a noticeable impact if you disable the live traffic view feature.