It is a power upgrade - but only a little. You have to be careful of the critters you throw at the party. In general, they'll be slightly more durable than standard characters, but not by much. The (published) rule of thumb is that you throw things +1 CR higher than normal if the critter you're using is mostly based on things without saves (e.g., Bears, Dinosaurs, Fighters, Barbarians), or +2 CR higher than normal if the critter you're using is mostly based on things with saves (e.g., Basalisks, Gorgons, Most Wizards, Most Sorcerers) compared to a non-gestalt party.
So if you judge that the appropriet CR fight for a party like yours pre-gestalt at a particular point in the plot would be a CR 5 Dire Lion, you advance it to CR 6 (+3 HD, elete array, or add a nifty special ability). If you judge that the appropriet CR fight for a party likes yours pre-gestalt at a particular point in the plot would be a CR 5 Ghost Sorcerer-3 with a lot of save or ... effects, you instead use a CR 7 Ghost Sorcerer-5 with a lot of save or ... effects.
Edit:
That said, it's also useful when you're doing other things - Gestalt is great for a low-wealth campaign (low wealth cuts down on everyone's abilities, Gestalt pumps it back up - mostly). It's also great when you're short a player, for the same reason as with the low-wealth campaing and because it permits people to fill multiple party roles (I'm currently in a campaign with two characters, soon to be three - we just leveled up after last session, but we had a Gestalt Ninja/Druid and a Gestalt Wizard/Druid; Ninja is the Sneak, Wizard is the Utility Belt, they share healing, and the Animal Companions together make for a single good meatshield - all four party roles covered, if only just; new character will be focusing on Ranged Combat).
From a player's perspective, there's a couple of things to remember when building a character:
1) Build your character with Primary/Supporting class mindset; don't try to fill the traditional roles of both classes.
This is primarily to reduce Multiple Attribute Dependancy - the Sorcerer/Paladin who wants to go into combat and zap needs all stats nearly equally. The Sorcerer/paladin who uses the Paladin side purely as a defensive measure doesn't need much more than a plain Sorcerer. Likewise, the Paladin/sorcerer who uses the Sorcerer side purely for buff and utility spells doesn't need much more than a plain Paladin (not that that's actually saying much...). You want to avoid MAD.
2) One side needs to be a full caster.
This is a power curve issue - a melee combatant usually has above average "power" at low levels, and below average "power" at high levels - meanwhile, a full caster usually has below average "power" at low levels and above average "power" at high levels. A sneak usually has about average "power" at all levels. If one side of your character is not a full caster, you'll eventually want to replace the character to keep up with the rest of the party.
3) Avoid class combinations that only limit you.
You need to avoid class restrictions that nullify one of the strengths of your other side. For example, one of a Fighter's big strengths is full armor proficiency. One of a Wizard's weaknesses is an inability to use most armors. The two classes don't mix well very easily. A Cleric, on the other hand, has no issues with armor; a Fighter/Cleric can do very well pretty easily.
4) Look for synergy.
You want classes that rely on the same stat sets, or classes where a class strength eliminates the other side's reliance on a particular stat. For instance, the Monk/Druid. The Monk has a case of MAD straight out of the box - needs Con for HP, Wisdom for AC, Dex for AC, and Strength for attacking. The Druid's Wildshape class feature, on the other hand, permits you to pick forms with high Strength and Dex - permitting the character to ignore those attributes, for the most part. The Monk needs Str, Dex, Con, and Wis - the Monk/Druid needs Con and Wis. Likewise, a Druid has some difficulty with AC in wildshaped form - the Monk's AC bonus applies regardless. As Wisdom is the Druid's Primary Casting Stat, this helps the Druid out - even in Wildshape, where Armor/Shields are hard to use anyway.
5) Look for active/passive combos.
You've only got so many actions a round. In general, you'll want one side of your Gestalt to be "active" - cast spells, swing sword, and so on - and the other side to be "passive" - grant saves, AC, SR, HP, or whatever.
