We (my house) have done it a few times, one of my housemates was really into it and even has his own caches set up that he renews every so often, all hidden away in secret spots.
It's a lot of fun if you live somewhere with open fields, just for a nice walk, or if you live near any historical places, people tend to set them up there and around lesser known spots.
Portsmouth itself is pretty good for them, as is the Isle of Wight, there's loads of forts and things hidden away that you'd not find otherwise