Depends on the cost of the domain & who you're buying from.
Escrow services aren't worth it for a $100 domain, generally. If you're paying $25k to a company you don't know, then I would definitely use Escrow.com.
We've done five figure domain deals with companies we know without any escrow or anything. On the other hand, we've used Escrow.com on domain under 1k too.
Use your judgement.
