I have now had my Philips HF3480 wake-up light since Christmas 2010 and I must say that its one of the best Christmas presents I have ever got.
The wake-up light has made a great positive impact on my morning routines, now I actually wake up without being stressed out, and turning the alarm off at once, which in turn gets me out of bed in a more relaxing and comfortable way each and every morning I use it.
Since the wake-up light wakes me up with a gentle and gradually increasing intensity in both the light and eventually the sound (sound is optional), it is really not stressful at all, I wake up slowly and I just lay and listen to the radio or the sound of birds for 5 minutes every morning while I get used to the light from the lamp.

Philips HF3480 Wake-up Light
I use the 30 minute light session, which I believe is the only option I have on Philips HF3480 wake up light, This means that the light gradually starts to shine 30 minutes before the time I set the alarm at, for people that wake up easy this might make them wake up sometime before they intend to wake up, as for myself I usually don’t wake up before the sound alarm start.
Conclusion: the simple answer here is Yes, wake up lights DO work. But I believe they are very dependant on the sleep pattern and routine of the user. As for myself, a quite heavy sleeper that often has trouble falling asleep this is a perfect gadget to make the mornings better.