I've an OBDLink MX (Bluetooth) dongle which I used extensively to diagnose the dreaded Powershift speed sensor fault (fault code P0715 - read about that
here). I would connect wirelessly using my smartphone and FORScan app to log drivetrain data as I drove around and record occurrences of the fault.
The OBDLink is pricey (I paid around $130 from memory) but I feel it's worth it for the quality of the device and battery saver feature, which allows you to leave it plugged in all the time - although as manchu mentions, you can't close the cubby door with anything plugged into the OBDII port. I eventually modded mine by hacking off some plastic on the door and socket mount to allow a right-angle extension cable to fit with the door closed so the dongle could be connected all the time, but I don't often use it anymore - only a few times lately to monitor the state of the DPF when I was feeling superstitious. It definitely had already paid for itself on the journey to getting my transmission repaired though.
The biggest problem I've found is that my phone/app frequently doesn't connect to the dongle on the first go, and I have to retry multiple times and sometimes reload before it decides to play. Not sure why, it seems the Bluetooth device just doesn't wake from sleep. Which is frustrating and adds a lot of friction to the conceit that I'd be connecting to the car anytime I want by having the dongle always plugged in and ready. Also frequent updates to FORScan reset the app's database and force you to go through initial vehicle setup again (and lose all your dashboards - arrrgh!).