I use connection mirroring extensively. Both on long lived connections and shorter lived connections like HTTPS (I guess I'm disagreeing here with a few other people). There are good reasons you don't want even HTTP to break. e.g. on an ecommerce site (When a customers webpage fails, you'd be amazed how many people give up and goto the opposition. Believe me some business managers count transactions that start and fail to complete as a pretty big failure against you).
As far as overheads... It's pretty minimal on every site I've done. And IMO the benefits far outweigh the costs... I've had 6400's running with 2000 HTTP queries per second and over 120Mbps of outbound traffic with mirroring and no issues due to load. The few times I have had cause to drop mirroring (To see whether we had headroom for anticipated traffic increases), disabling the mirroring didn't make a
big difference in CPU consumption on the active unit.
What I could recommend however is having a dedicated network for the mirroring traffic...
H