I've never employed a private investigator and either thought about it. I have no experiences with them. Only, some time ago, I remember that a friend told me she was thinking about employ a private investigator because she had some doubts about her husband's fidelity and she wanted to discover if there was another woman. Finally she didn't do anything.
I think it's an interesting job and it could like me but, like a lot of things, there is an amasing part and another one more boring. For example, be waiting a lot of time for a person or an specific situation wouldn't be very interesting but when you have recovered all the information and you must do all the deductions would be much better.
All my jobs have been very normal, nothing strange or interesting to remark.