They are compact (a single file) and most important they support search and index, two features very usefull when looking for script functions or defines names.
However, some people experienced problems in viewing them, even if Windows should see them by default.
This may be caused by a security blocking from a Service Pack 1 version.
Here is a Microsoft article about this problem:
http://support.microsoft.com/kb/902225/
It basically saids to save the chm on your hard disk (not to choose open in the download dialog) and then:
Method 1
1. Double-click the .chm file.
2. In the Open File-Security Warning dialog box, click to clear the Always ask before opening this file check box.
3. Click Open.
Method 2
1. Right-click the CHM file, and then click Properties.
2. Click Unblock.
3. Double-click the .chm file to open the file.
I heard that Method 2 was succesfull.
However, I will make the documentation available for download, in plain html format (zipped), just to have one more option.
This will require you to allow your browser to run the JavaScript code from the pages, since most of them use it to hide or show tips or script code source.
Alex