I have been, it is missable. Unless you want some cheap booze, fags, alcohol or perfume, there is NOTHING there. Some monkeys. About seven pubs full of UK military plaques or else called stuff like 'Rover's Return' and full of 50+ red-faced Brits. One nightclub playing Ricky Martin. Lots of squaddies and a few Moroccan beggars, who are roundly detested. A church and a mosque. You'll also have to wait for ages getting through the checkpoint if you travel in over the border.
But, if you do decide to go - ask people what they'd do if Britain ever handed Gibraltar back to Spain. Fucking hell, you'll see some real fireworks. There's some sort of UDA-style underground civilians' network ready to swing into guerilla activities if that day ever comes. I was warned to keep my voice down when asking about it. It is weird seeing people called Garcia wearing Union Flag shirts and telling you, in Spanish accents, that they're British til they die.