You bet they work. But not for every product or message.
Top of mind awareness, punctuating an image campaign, turn here, location specific ads and ones relevant to the landscape come to mind. They are great for ad campaigns with legs. And if you can translate your message from print, to radio/TV to billboards, you have nailed a winning strategy. The challenge is to get it to work across all media. Think Nike.
Billboard headlines must be short. In other words, long sales letter headlines won't work because you are usually driving by. Unless of course it's an area of major traffic jams. But the rule of thumb has always been less than 13 words and the shorter the better. There are exceptions but that was the agency guideline from most creative directors. Short and pithy work well. Headlines you would not dream of using for a print ad because it's too hokey can be a huge winner on a billboard.
It can drive people to a website if it's a memorable url. It can get people to call if it's translated to letters, call 1-800-see-well for lasik vision correction.
example:
Go Topless this Summer.

See Vonage Volkswagen today for a test drive.