Yes, I've done it, after reading Chef's comments ages ago that he's also posted above - asking for just one thing which I can do to improve my dancing. (Note - this is different from asking for "feedback" which could be construed as fishing for compliments. You need to be asked to be actively critiqued.)
I've done it twice, both with forumites whom I've danced with a few times. First one we'd danced several times over a couple of days, second time I already knew the lead a bit - had danced plenty of times over a protracted period at several venues in London.
First time I got one really useful piece of advice that took me several weeks or even months to crack, but it made a big difference. Second time, I virtually had a mini-lesson from the lead, who was amazingly helpful! Spent a whole track showing me about three different things I could do (had only asked for one though). Again, took some time to get the hang of what I'd been told, but what was fantastic, was that when I danced with him a couple of months later, he actually noticed the improvement - asked if I'd been working on my frame and said I was much easier to lead It made my evening
I've also asked for help with a particular move I've been struggling with (Manhatten/Columbian style moves). Once from a regular at my venue whom it turned out also wanted to improve his leading of this which caused great mirth as we struggled together, and once from a forumite who showed me how it should be lead so I could feel the difference. Again, both good experiences - and they've paid off as I had more success since (mostly, although I had another impromptu lesson at Storm on another variation of this that I managed to get muddled on )
I've also been asked once. The person took my advice as well, and it made a big difference to his dancing too I was also very flattered that I'd been asked - and think the leads I'd asked were also.
So yes, it's worth doing. Just pick your lead well, make sure it's someone sympathetic, whom you like and whose dancing you respect.
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