Well, I've never tried them, but as far as I can see, there's no way they can be any good, except perhaps for the 'zero sperm count' vasectomy thing. But still, that's a risky way to do it.
If you're measuring because you're worried low fertility, then it's definitely a bad idea. What do they measure? Just cell number? There are so many other parameters that are measured in a semen analysis than just number. A good clinic will measure volume, pH, liquefaction time, sperm cell number, sperm cell shape, motility (i.e. how many are moving), directional motility (i.e. how many go in a straight line rather than in circles), morphology (i.e. proper shape, rather than tailless sperm 'heads'), WBC counts (i.e. signs of infection), fructose content, and possibly more.
In fact, the raw number of sperm has little to do with conception, unless the count is zero. For example, did you know that it's completely normal for your sperm sample to contain up to 96% defective sperm cells?
If you're just curious, then go ahead. If you actually have reason to be worried, then you should get a proper test done. Usually, "reason to be worried" is when you and your partner have been trying to conceive for at least 1 year without success.
Also, there's nothing to be embarrassed about - You can usually produce your own sample at home as long as you can get it to the clinic in an hour or less. They'll give you a form and a container. Also, the staff at these places do this kind of thing all day, every day, and they've been doing it for years. This is completely routine for them. The only other people that will be there are also going to be there for the same reason as you, so everyone's on a level playing field
Cheers.