Tricky question. I always just thought they'd ruin your hair do, but I stumbled across this US website called Twigs & Honey who do THE most beautiful veils, headbands and garters. I'm pretty much in love with everything in their shop, but managed to pick out a few favourites.
They aren't too expensive either, around $100 - $200, it's definitely worth looking at the veils - they are to die for. I'm definitely coming around to the idea of a veil, that's for sure.