I've been playing with the new unit testing features built into CFEclipse for about two weeks now, and I have to say that they work GREAT! This is definitely a step forward for all of us cf developers.
The new tools built into CFEclipse will make it easier for you to develop you tests quickly, but you'll also want to look into the ant integration that's mentioned on the cfunit site. The ant approach will fire off your test suites whenever you save a file, helping to make sure that your new code doesn't break something elsewhere in your app. This is really helpful when you have several developers working on a large project where you might be unaware of how your code is actually being used.
Another situation where unit testing becomes even more important is where you are tasked with wring the cf side of a flex app. It's very possible that you will outstrip you flex compatriots since they are fighting a learning curve right now. Unit testing allows you to validate that your code works as expected before there is an interface that uses it.
Hats off to:
Mark Drew for the CFEclipse work
Robert Blackburn for the CFUnit work
Andy Jarrett for the nice quickstart