serenitynow! protesting can be useful and do some good if you have the time and inclination to engage in it. It isn't the end-all of the Watchtower but if you're in a high traffic area and have a catchy sign you may inspire someone to look up the Borg online and then refuse the litterature the next time a Dub knocks at their door. There may even be some positive effects on those attending the meeting, but that is less likely. Even so, if it helps one person to not become a JW, that's worth it. There is no WMD to bring down the Borg but that doesn't mean we can't keep chipping away as we can.
If you are in somewhere NOT the USA then protesting is often considered an accepted way of communicating with the public. In the USA, though, as mentioned by several posters, it is often looked at askance. So your mileage may vary.
Cult Free Radio #005 discussed the topic of protesting with an experienced Borg protestor from Canada. The mp3 can be found here:
I hope to have the show up on youtube sometime soon, too.