I ran one for quite a while during an Iron Kingdoms game. It was the first time playing in the setting, and we didn't have enough close combat/tank characters. So I ran a fighter for the group. Even later, when more people joined the game, I kept him around. While he didn't do or say much other than offer his opinion or just lend a hand when beatings were needed, he seemed to develop a personality that the other players could bounce ideas off of.
At the end of his appearance in the game, some of the PC's liked him, one or two didn't. But they all knew his name.
Some advice for running a GMPC, if it ever comes up. Make them memorable in some way (give them a quirk or interesting characteristic), let them speak their minds once in a while (but only use in-game knowledge), keep them in the background (the PC's are the important ones, here), and do not get too attached to them. The last piece of advice is the most important, I think. Just think of them as recurring NPC's, ones that are useful, but ultimately can be thrown away when needed, and they work out just fine.