This is kind of an awkward thing to admit...but I don't really ever use them! Call me old school, but I've always used loose powder as my setting product of choice. Once I find something that works, I'm a little slow to transition to something else, y'all.
Despite my reluctance to try new things, I can tell you this: even without using them myself, I'm pretty darn sure they work. I've heard lots of comments from women who swear they can tell a difference between when they use their setting spray vs. when they skip it. Plus, Urban Decay's famous All Nighter Spray has a whopping 4.8 star review on Sephora! Compared to most makeup products, that's incredible!
If you're someone who dislikes powder (either because of the matte finish, cakiness, or because you have dry skin) , a setting spray could be a great option for you. Now that so many companies are making setting sprays, you also have a lot of options are far as price goes, as well as what finish the spray gives. You can find matte, dewy, and natural finish sprays that get you to your desired result, which is awesome.
The only thing I would caution you against is believing that a setting spray (or any product for that matter) is going to magically solve all of your makeup woes for life and keep you from having to do touchups ever again! Makeup companies probably want you to believe they have invented the holy grail, but I've always gotta keep it real here. Although both powder and setting spray are designed to lock your makeup in place, you'll never fully escape the fact that your skin is a livin' and breathin' organ that is active all day and will eventually displace your makeup. The good news is, with products like primers and setting sprays, you are going to get better results than you've had before. Consider them boosts to your makeup routine. Do you HAVE to use either? No way. But if you do, you might feel like you get extra mileage in ways you never used to.