Most SharePoint consultants I've run into discourage their clients from building Custom Service Applications, including SharePoint conference speakers I've heard talk. I'm not sure why, but it seems that building custom Service Applications is generally frowned upon due to apparent 'complexity'.
In one of my blog posts, I argue that "the most attractive reason for building a service application is to logically bundle a set of services and/or capabilities provided by in-house applications and systems, as well as 3rd party (i.e.: NOT SharePoint) systems and expose those within the SharePoint infrastructure. Assuming SharePoint is being used heavily within an organization, these services and/or capabilities are easily distributed to users, and centrally managed by "IT". Building custom service applications should be interesting to ISVs and larger corporations that can put the necessary time into it. But I also think it's a great learning experience and a SharePoint developer will benefit greatly from the exercise.
I have a series on building a custom service application and I argue this very question in the first post in the series SharePoint 2010 Service Application Development 101 – Getting Started