So many good points have been brought up in this thread.
I think when the Borg were first thrown into the mix (in TNG), they were intended to be something like space "zombies," meaning they were probably thrown in for shock value and interest. However, unlike zombies, instead of inexplicably reanimated deceased corpses rising and chasing people through graveyards for unknown reasons, what you have is a culture whose existence requires commandeering living beings' bodies to modify and animate in whatever way suits them. That made the Borg unique (IMHO).
Someone else brought up how Locutus was used as a "mouth piece," yet was not at all an individual while in the collective. I feel like this aspect of Borg life was not emphasized enough - that dead drones could be just cast away by the collective like used up batteries without any remorse, whereas most living beings (in Star Trek, at least) do what they can to help one another survive. So, becoming Borg is, in addition to losing your identity and freedom, becoming a very disposable and insignificant tool.
When Q first forced contact between the Enterprise and the Borg, it was because he didn't believe the Federation had what it took to take on the Borg. I see the Borg as kind of a mix of the space-zombie-shock-factor and as another challenge (I guess both similar and dissimilar to Farpoint) presented by Q, which the Federation was eventually successful in overcoming - or at least successful in staving off disaster repeatedly.
One thing I was never fond of was the whole Unimatrix thing. However, its redeeming factor is that it was mentioned to have begun with the re-assimilation of a single drone. If that drone was Hugh, of TNG, I like the concept of the Unimatrix better, but it still really doesn't make much sense for deception like that to be possible in something like a collective consciousness.
I think, if you view the Borg as kind of a comic-book-type-villain, they completely win. But, if you try to pick the concept apart and examine the details to try to make the Borg make sense... you might become disillusioned with them in a hurry.