I have been.
I went as a day trip from Nice and absolutely loved it. I hated Nice (no offense to anyone from there, I do not think I was there long enough to really appreciate it.)
I was only in Monte Carlo, but the things I remember were how beatiful the views were, how beautiful the people, cars, and boats were.
Having only one day to run around (I think I was actually alone at the time) I only got in the things I really wanted to see.
The Casino
The harbour (Prince Albert's yacht.)
Some restaurants
The Ferrari dealership.
It is a great city, hilly gorgeous and expensive.
I definitely recommend going, and if you are planning on spending New Years there, I think it is a fabulous idea. I can imagine it would be an absolute blast to be there, just save up.
If you are planning on going outside Monte Carlo, I really cannot help - sorry, but I have to imaging the rest of the principality is beautiful.