It really depends on what your group likes. If you love dungeon crawls and a lot of monotony (which runs throughout the module), then you'll love it.
A friend bought it when it came out, and he ran us through about 10 sessions of it (we got to about 4th level). I'd have to say its the most dull and monotonous D&D game I was ever involved in. My friend is a pretty good DM, and he tried to involved various side-quests in the dungeon as well as intrigue between various factions, but its an endless maze of rooms, battles, and searching. And our group kept asking "why would ANYONE build a huge complex like this and just seal it up?". There isn't any sense, rhyme or reason to it, but then again we hated Undermountain, .
I bought it for about $40 from my buddy after we quit WLD and he wanted to unload it. I'd have to say $40 is overpaying for it after having read through the first 6 levels thoroughly and skimming the other levels. Its billed as a complete campaign, but it would take the DM a LOT of work to actually make this monster work- more so than just getting Dungeon magazine adventures and stringing them together. Plus, in the WLD, there isn't a lot of opportunity for side quests, investigative adventures, or role-playing, but you'll likely get sore wrists from flinging 20 siders. I'd never try to run this thing as a campaign, and the only use I can see getting out of it is removing small sections of it and using them as isolated ruins/dungeons in a regular campaign. So if you love an endless series of combats with little variety, searching rooms, and looting bodies, you'll love it. Otherwise, avoid at all costs.
EDIT: As a side note, I also played through most of Rappan Athuk by Necromancer Games with the same DM, and while very difficult, it was quite enjoyable. We thought we'd give WLD a try because we did enjoy RA. RA is better thought out, has more variety in its encounters and locations, has more role-playing opportunities, and is much more challenging than WLD, and is SMALLER (which is a good thing IMO). If you're wanting a really good dungeon delve where you REALLY flex your tactical muscles and don't mind some PC deaths, then go with RA rather than WLD.