If you're using 3rd level domains to save money on domain names (site1.domain.com, site2.domain.com), and are hosting unrelated sites on each 3rd level/subdomain, I'd think they'd probably be neutral as far as your rankings are concerned...
Another positive benefit is the increase in brand exposure. A good example is Hotbot/Lycos. When Lycos purchased Hotbot, they could have kept the domain name the same. But having hotbot.com resolve to hotbot.lycos.com does a better job of brand building for Lycos. The address makes it far more clear that Hotbot is part of the Lycos network.
If you use them, you do need to be careful and not get carried away. SE's do seem to track and monitor potential dns spam.
I use canonicals all of the time in structuring my sites. As RC suggested previously about.com is the king of this method and to really learn how to do it right, check out what they have going over there.
You are right in suggesting that it saves money. Especially if you find a good host with a c-panel 3 that you can set the canonicals up yourself. I am always on the lookout for those, especially the ones who do not charge for using them or limit how many you can create. [:)Please sticky me if you know of one].
When I map out the site originally I take a lot of my time determining the direction I’m moving in and how to break these canonicals up so they make the most sense and will work the best for me. Unlike a book with separate chapters I think of using canonicals like a series of books, connected by their ongoing theme. If you do it right you should be able to set them up independent yet connected. The independence allows you the opportunity to strongly market them in directories or to gain link partnerships. The connectedness unifies them so that as whole the product is stronger.
I have no experience with any adverse effects of using canonicals, as long as the content is there. I agree with mivox that to simply save money would lend you no benefit but if it’s purpose is to create a stronger product then I’ve seen tremendous benefits.