Also, many HRMs include calorie counters based on your heart rate, weight, gender, age and height. It is much, much more accurate than anything you will find on the machines at the gym. I do use it to monitor my heart rate, though I almost always go high-intensity when I'm at the gym, but to me the calorie count alone is worth it.
It lets me know all my hard work was not done in vain, haha!