The American Rifleman did a very nice article on hevi-shot. They took a scientific approach and hired a company that specializes in high speed photography and the analysis of projectiles in flight. They cleared up some of the myths about it. They also applied it in the field. Their conclusions are that the stuff is definitely worth it for bird hunting that is not done at close quarters (like, don't bother with it for woodcock or quail), but for ducks and pheasants they say it's fantastic.
One interesting statistic is that, at 40 yards, the velocity retention is significantly better than for lead. They chrono'ed it at 40 yards and at the muzzle. This is backed up by penetration tests they did on gamebirds.
Sounds like wonderful stuff.