I've bought a bunch of stuff from HF, mostly smaller items. There are a great many things I wouldn't think of buying, but for stuff I almost never use (specialty items, etc.) I just can't pass up the price.
I get a couple of emails a week and a couple of print catalogs a month, plus about every 2 months I'll get the sale flyer for the retail stores.
HF prices change constantly, if you want to buy from them and you can wait awhile, just watch all this **** and you'll find a deal on what you want.
For example; a couple of years ago I bought several sets of cleaning brushes, each set had 3 kinds of brushes; nylon, brass and steel bristles. So there where 6 brushes about 6/7" long and three more, one of each kind that where about 9" long. When I ordered them they where 99 cents each. A couple of weeks after that I was in the retail store in Omaha standing behind a guy in line that was buying some of the same brushes, they where $3.49!
I've had one of their vertical compressors for about 2 1/2 years and so far no problems. It's the one they now have in their catalog for $249 (I think), 17 gallons and 3 hp. I bought it at the store for $99 and it's great for the money. In my experience HF is just like Sears with their pricing, just Sears isn't quite as extreme.
Another HF experience was: I bought a set of their crowfoot wrenches, the first one I used broke instantly with hardly any pressure, I called and they sent a new set right away. They didn't want the other set back. The key with HF seems to be if their stuff fails you have to get on them right away and they're pretty good about it.