"Worth it" is defined differently for everybody. If you work out in the garage a lot, store things that you want to keep warmer, or just want as much energy efficiency as possible in your home, then it's definitely worth it for your comfort and protecting the items in the garage. If your main focus is the financial aspect, then that can vary depending on the type of insulation you use, and a ton of other variables (your location, position of your house and those around you, any insulation currently in place in the walls or externally, etc)
If it were me, I'd probably try a blown in insulation like cellulose. It typically gives you the most R-Value per dollar, and could be blown into the walls through small holes that could be patched rather than tearing down all of the drywall and having to re-drywall everything after insulating. The biggest potential hiccup with cellulose is having horizontal blocking within the walls that would keep the cavity from filling completely from top to bottom.