Do they work? According to my GP, they only keep the area warm.
If that warmth makes your knee feel more comfortable, then they are 'working' on at least one level.
The only ones that are likely to 'support' in a more functional sense are the hinged ones like I wear when I am skiing; it prevents lateral movement of my knee joint but after all the injuries I have suffered to it in the past, that's what I need.
I agree with the posters above who specify a sports physio/quack. I had had (NHS) physios in the past whose only concern is to get folk back on their feet. "I actually want to get back to MY normal state of functioning, not that little old man's" is meaningless when their time and resources are so stretched. If you get an NHS physio who is also (say) a runner - like I had once - they are far more sympathetic.
Private sports physios often have clinics inside gyms - you don't need to be a member to attend the clinic - and they aren't too dear. I had a few sessions to treat a pranged ligament a couple of years ago as the NHS waiting time is 6 months round here. I had a full hour each time, ultrasound, acupuncture (neither of which I had on the NHS and both worked brilliantly with the pain) and lots of massage and exercise tips. Total cost was about £150 and I got half of it back through the hospital fund.
And it was an NHS physio, at my first appt with her, who diagnosed the ruptured cartilage in my knee that two doctors had missed when they thought it was just a torn medial collateral lig. She arranged an urgent appt back with the doc for me and I had an operation the following week (when they opened up, they found that I had also ruptured my cruciate lig). That was just one of my knee injuries.... 
Edited for typos
Edited: 04/05/2008 at 08:37