I have sold many at the store I work in, and NON have been returned, though we have a very lax return policy where you can return anything (even opened food) with or without a receipt (exchange for another product if no receipt). I havent used one myself, but from this experience I say they do work! There is always an exception to the rule though....
I ordered one for each of my dogs this weekend. My Doodle is fearless, but it says it has a calming affect and I was hoping it would calm her down at times (I think she sneaks RedBull when I'm not looking). Our other dog, a Catalolian Sheepdog, is very sensative and is afraid of fireworks and thunderstorms. Am hoping it will help him out (could really use it this week).