Early in my campaign I was in the process of conquering Sparta, but when down to one region, he offered to make peace and become my client. I've found it beneficial in some cases, and not so much in others.
I was even thinking of revoking their client status and attacking them just to get rid of those damned fleets. They lost both Macomades and Lepcis to revolt, and again proceeded to blockade them to infinity.
I took on Libya as a client (at their request) thinking that if I controlled Carthago while they had the rest of the province of Africa it would count towards one of my optional missions. Since then they've retaken Sardinia, lost it to one of the many returning Carthage factions (every time there's a revolt in western Africa the faction returns to the game), retaken it, lost it to a revolt, and have now been blockading it for more than 50 years without ever assaulting it or even laying siege to it. They expanded and took Sardinia themselves, then Lilybaeum, then Carthage (!) and Thapsus, only to lose all of it back to Corsica. In my Rome campaign, I made the Etruscan League into a client when I took Corsica. My frustration with them stems from stupidity, mainly. I find them occasionally useful, but also troublesome, though not to the extent of vassals in Shogun 2. None have so far turned on me, but I think it's possible.