I love sun sleeves because I hate the feel of sunscreen on my arms. For the most part they are great, and the newer "In-R-Cool" Pearl Izumi ones are my current favorites, but even they start to lose their cooling effectiveness on hot days in higher humidity (IE: Texas in July through September).
The one thing I've found to watch out for though is getting a sunburn on any exposed skin on the wrists between arms and gloves.