If you do not have connection to the internet, you should not buy XBox Action Relay as you will not be able to use it. However, if you are reading this, you should have no trouble with the internet connection part.
There are some odd "power saves" on there e.g. some people save the game 100% completed, so you can cheaply beat the game by downloading their saved game. That's lame. Unless you accidentally delete your 100% complete game, then download it back as to recover it. But Action Replay is limited, e.g. the game "Ninja Gaiden" does not allow you to save files onto a memory card, thus, no one can save it onto the special Action Replay memory card and send it out so that everyone else can download it.
But all in all, Action Replay can be fun if used correctly.

Everything is great about the Xbox Action Replay. Do you want to hear the bad stuff about it? OK here goes - zero, zilch, nadda.