I bought one about 3 years ago and love it. Before buying, I tried sleeping with a lot of extra bedding piled on top to simulate the heavier weight and found I definitely did sleep better.
I bought the Koala weighted blanket which at the time was coming near the top of the best buy list. Cheap isn't necessarily good because the beads inside which make up the weight can collect all down one end, whereas with the Koala (and probably other middle of the range brands), the blanket is "pocketed".
I would recommend using a top sheet underneath the weighted blanket because the sheet can be washed every week whereas it would be a real faff due to the heaviness to change the cover on the weighted blanket very often.
As mentioned by NotaGran, be sure to buy the correct weight which will be explained on the websites.