In this day and age, the entrepreneurial aspect of the “entertainment industry” places an emphasis on money as a driving force for creating work; some agree with this, but others will say that it is a balance of motivations that leads them to work in this field.
As for answering your question: is it worth it? It would depend on what area of the industry you plan to pursue. Make sure the school you are targeting is aligned with the industry you plan to work. In the arts, media, and entertainment sector, there are a number of options for careers, it just depends on what interests you. Often the media “centers” of the world reside in urban locales, and for the U.S., this would mean, L.A., New York, and others.
You need to make sure that you know what aspect of media you’re interested in, and study it from all angles and perspectives. Also, a school that prepares you via applied practice (read: hands-on) is going to expose you to a balanced education, versus one that stresses academics or theory only for the first two years of a four year degree).
Often, I recommend to students to find a reputable community college that has an established media arts/communications program, as they often have courses that provide the basic building blocks for media production, without the added cost of a specialty school. There, you can build your foundation skills (writing, technical proficiencies, applied knowledge in an entry-level environment), while researching a viable school to complete the bachelor’s degree.
In the entertainment industry, there are positions that are “above the line” (creative, management, directors, etc.), and “below the line” (technical support, crew, other). The above the line jobs usually are filled by professionals with degrees, while below the line positions usually do not require a degree, nor do employers look for it.
In areas of writing, directing, producing, there are many skills to master, and a firm understanding of technical and aesthetic theory, along with a clear understanding of the rich history of the medium are aspects that are best studied and offered in the context of a bachelor’s degree program.
For a similar question (in the area of film production), see this discussion:
http://www.fluther.com/disc/14206/how-do-i-go-about-trying-to-start-a-career-in/
p.s. If you’re interested in Broadcast Journalism, there is a slightly different answer for this.