My experiences... I just did this as an alternative to "just wireless via unstable cards/hubs" for headless operation when out and about. Having wireless drop for unknown reasons and having to do a hot-reboot was getting annoying. It also frees up a USB port. It also works at cafes where they have a single AP that has "client-to-client" disabled. The only downside is I can no longer just plug it in and leave it under the table or near the outlet at the cafe. I need a table close to the outlet due to the cabled connection.
I set up my Ubuntu netbook as the one sharing the connection to the Pi (via an actual crossover cable, though I'm told NICs are smart these days and sometimes don't care). iptables is fairly unfamiliar to me, but the instructions linked below worked like a charm. The only bits that needed personalization was the private subnet to use (I used 10.0.1.x), names of your interfaces (eth0 and wlan0 in my case), and DNS preferences. I also went with setting the client (pi) up via /etc/network/interfaces so it can be more automatic.
Useful bits under the "iptables method" section:
https://help.ubuntu.com/community/Inter ... way_set_up
If you don't need the internet and just need shell to the RasPi it's way easier, just static IPs on the respective interfaces on both ends configured to the same subnet.