If by 'work' you mean 'make funky tones and blinky lights,' yes, they work quite well.  The effect is trippy to varying degrees.  I have some tinnitus, so the base frequencies used in Mitch Altman's instructions were, quite honestly, obnoxious.  I figured out (with his help) how to program lower base freqs which are easier on my ears.  I've also tweaked the order/timing of the brain wave patterns more to my liking.  The default pattern is designed to get you to meditate then bring you back to alertness.  I want something that's going to help me get to sleep since sometimes I just can't turn my brain off.  The beauty of open source hackery is that I can experiment with different patterns to my heart/brain's content.  I haven't settled on the perfect pattern yet, but it works pretty well.
I say order the kit and follow the MakeZine instructions.  Total cost is less than $20 depending on what you have laying around and if nothing else you could put the blinking LEDs in a skeleton cutout and have a funky Halloween decoration 

  Or if the brain machine doesn't work for you, you could always hack it back into the miniPOV kit.
The bicycle POVs look cool, but honestly, I don't ride my bike anymore.  If I thought it could live up to the rigors of being on a motorcycle, I just might try it. 

What I REALLY want to build is AdaFruit's MIDIsense kit.  Then, of course, there's the x0xb0x. 
http://www.ladyada.net/make/x0xb0x/