I've worked with everything from optical to silicon based. Be more specific.
They generally do not substitute passwords in a standard windows environment. They merely act as an authentication layer. In other words, most software that comes with these sensors today provide/create an encrypted password bank that stores the password for each specific app, website, as well the Windows GINA log in layer that you use on a regular basis.
Hence if you don't practice good password security to begin with, all the sensor does for you is add convenience. ie; leaving your password as the year and make of your car for instance. If that password is for example 99dodge, the software will use that password for the specific app or webpage it is used for. Now if you make completely random passwords like U9tT2* then that in conjunction with the sensor is truly elevating your security. You can ususally log into the password bank to see the password in clear text should you ever need to "remember" it down the road.
You can, depending on the solution, make it so that the system only takes a fingerprint for any authentication instead of failing back to password. Of course, if the scanner breaks, is lost, or stolen, you may have a big problem.
Some vendors like IBM are doing it right. They have an embedded security chip on the system that can work hand in hand with silicon based scanners either built into the laptop, or usb dongle for laptop or desktop. In the IBM's the fingerprint gets stored on the chip, not the drive, so a theif taking the drive can't extract your digital fingerprint. Even in the IBM solution, a password bank/layer approach is used. -But their software offers much more function, as well the chip. Data encryption above and beyonf what comes bundled with stand alone scanners.
In higher security environments - ie; Gov't/military/labs, sensors use the fingerprint as the password itself, but these are dedicated single point authentication systems ie; doors and so forth- and they don't run a windows pc to do it,
If you are looking to add a bit more security, and mainly having the convenience of quicker logins/password management, than by all means get one of the silicon based scanners.
The sony is silcon based which is good. Stay away from optical based like the Microsoft, which in reality is a Digital Persona made scanner. If you can get one of the silicon "swipe" sensors. They are more secure as they don't retain a full latent print- as well being cheaper because there's less silicon involved. Also, put any usb scanner on a cable... you don't want to stress the usb port on your system everytime you need to authenticate.
Hope that helps.
Edit... I forgot to mention the Targus, and APC silicon scanners... same technology licensed fromt he saem company Sony gets theirs from...IBM is also introducing a USB swipe scanner if not already will be soon.