They do help (see below for some of the reasons) - but whether commercial varieties are worth the money is between you and your wallet - I suspect some aren't!
Long ago (1980’s) one of the engineers writing for Electronics Australia (EA) magazine proved through testing several clamps that they do make a difference, in that they helped reduce acoustic feedback. This was easily proven – he just excited feedback ‘howling’ by advancing the volume level and tapping the turntable, and then noted the lowest volume level the howling occurred at, and could get higher volume levels before it occurred when using clamps, than when they weren’t used.
Some clamps were better than others at reducing feedback, he found, but they all did it to some extent. He postulated that some of the feedback was occurring due to record vibration, which the clamps ‘damped’, thus reducing feedback. As feedback has been found to be one of the most important differences in how turntables sound different, it follows that reducing it using a clamp should be beneficial to the sound quality.
However at low audio levels (when feedback isn’t a problem), or when listening via headphones (when feedback is eliminated entirely) any audio difference is probably minimal, but may be worthwhile if you can do it economically. Clamps also can help correct record warping, by flattening records, although they only work on one side of a warped record.
Some heavy weights may also help reduce wow and flutter slightly, by increasing platter inertia, although as most of the weight is at the centre of the platter, the effect will be only slight. Some people may think they look nice, too - perhaps another benefit for them.
There are numerous threads on AK about DIY efforts at making clamps or weights which will cost very little, as well as other threads discussing some of the better value commercial clamps. One of the best value clamps is still the Michell record clamp, which incidentally was rated the best-performing clamp in the EA test. The Michell clamp, unlike weights, can also be used on spring suspended turntables (e.g. older Thorens models, Linn Sondek LP12), so it’s not a bad choice.
I agree that many clamps/weights are rather expensive, but I suppose they are worth it in one way, in that you are probably paying for the time involved in making them, as well as the materials used. Just think - buying one will help keep someone employed, so you'll be doing something good for society, and can congratulate yourself for that...
For the record, I do use an ancient Nagaoka weight, but can't hear any audio benefit at normal listening levels. I have tested it as per the EA article - and yes, it does reduce feedback slightly.:thmbsp: At higher volume levels, the difference in sound may be more apparent - acoustic feedback will then be having more of an impact in distorting the sound.