Occasionally I'll email them and tell them - I'm sure they don't appreciate it; I rarely get a response.
Personally, I would LOVE to hear that, because I've recently used a few of the paid services that send a "pseudo-shopper" to your site, and I wasn't that impressed with their insights (took a lot of back and forth emailing after the review for them to actually specify what it was they didn't like).
So I think it would be a great idea for us webmasters to make it as easy as possible for shoppers to tell us where we suck. Maybe I will put a graphic saying, "Do You HATE Us? Tell Us Why!"
Probably much better information than relying on paid services, where the reviewers only seem to have time to look at your site during their 5 minute breaks between cranking out ehow articles...