Some macros are really useful, especially for healers. Such as:

/micon "Raise"
/ac "Swiftcast" <me>
/wait 1
/ac "Raise" <t>
/p Raising <t>, Swiftcast used <se.2>

Uses Swiftcast, then Raise (or use Resurrect for SCH/SMN) and tells the other Healer you've raised and used your Swiftcast.
My Benediction is set to a macro too, just so the other Healer knows I've used my big heal and they don't need to heal that person for the time being.
One macro I've found useful lately is:
/p <mp> mp remaining, Mage's Ballad please!
Shows the party how much mp I have left and requests MB from a BRD. Saves me having to take my eye off the party to type asking for Ballad.

For my BRD, Blunt Shot is on macro for coil so any other BRD knows I've used my silence.

They can be useful in situations, but the majority of the time it's just better to use the skills manually. The Heavy Shot/Bloodletter/Misery's End combo macro for BRD is just lazy xD