The Economist and Chris Blattman discuss.
One of the problems facing potential applicants is the impossibility of impartial advice. Almost everyone who has / is doing a graduate degree tells you that it is worthwhile, and almost everyone who does not tells you that it is not (with the notable exception of the embittered Economist correspondent). People are quite understandably prone to rationalising their own big important life decisions.
Objective data on earnings doesn't really help as earnings aren't exactly the point. Is there any research on the happiness / life satisfaction returns to graduate study?