I've never used action replay, but I do own a sharkport. In my case the one thing I've used it for lately is getting game saves my Smackdown HCP game. I only download game saves with CAWs(Create-A- Wrestler) on them. If I can get a memory card save with the CAWs on it that have stats, moves, etc already done, well why should I spend 5-7 hours re-creating them on my own?
The other reason I've used it is like Dibbler said, I have Kingdom Hearts I've beat the game twice but I never beat it and managed to unlock all the parts required for the "extra" ending. So what did I do, I downloaded a save that has met all those requirements. Do I feel bad about that? not in the least.
3rd I use it is b/c I'm well cheap
I only have 1 memory card for my ps2. I just keep saves from games I'm not using on my pc and if I fill like playing the game later with that save, I can just go back and get off my pc. No, "Damn, I can't play this new game I just bought b/c my memory card doesn't have enough space" problems for me
Finally back to the Action Replay, my Xbox crapped out on me a while back, it had a Thompson drive too, and I had to get a new one
I really wish I had some way to had some way to keep all of those old game saves, instead I have to play through the games again to get my stuff back. In some games that isn't bad, in others its a pain in the ass...