I just changed mine... Went out around 80,000 on my 2004. The check engine light code was P0126 "Insufficient coolant temperature exists for stable operation." I got a Garmin Ecoroute HD and my coolant temp was sitting around 150-160F, and would go down to 140 in cold weather on the highway. New thermostat and I now cruise around at 183-192. My gas mileage went from 24mpg to 27mpg with no change in driving habits otherwise. I was rather happy.
It's not too bad to get to. Right on the front of the engine, but you will dump a gallon or more of coolant out of the system while doing it, and it helps to have small hands. I had a friend help me with it because he's got little hands. My big fat Shrek hands don't fit in there too well. It took us right around an hour while screwing around quite a lot.
-Eric