Is it worth buying? well, we're still waiting for a review of it. Someone agreed to make a review* The company says it would support two players, but I'd really like the review.
A PSX guncon will not work. I've read that it would work in a playstation emulator outputted through a TV rather than a VGA monitor, with the gun hooked up by one of those SPX->USB converters. But that seems kind of fishy, and it wouldn't work for mame.
The evidence so far is that you can't use arcade lightguns on a computer, without coming up with some kind of complicated converter that no one has made yet.
You can use positional guns (old style guns, that are mounted to the control panel and use an analog joystick-type input instead of a light sensor) if you hack them into an analog joystick.
The leading PC lightgun is made by ActLabs. It works on a CRT VGA monitor, plugs into the USB port, and acts like a mouse. There are two downsides: you cannot use two guns at once unless you have Windows 98 / ME and AnalogMame+, or linux or something else that supports two mice. And it can't autofire (so far no PC lightgun can), like a machine gun. (I have an idea for adding this functionality. It's easy but requires some serious MAME programming, so no one really likes it.)[/me]
ActLabs is also coming out with a TV lightgun - it works on a PC but needs a TV or arcade monitor, not a CRT VGA monitor. It is also said that it will better support two people at once. We'll see.
*A thread a little down the page titled "ActLabs TV Lightgun delayed until Sept or Oct" has some information. On the second page, someone offers to do a review of it. Coming soon, hopefully.