I've done it, and there was much rejoicing.
But I think the success of it depends a lot on the DMs. If one guy wants a low-magic world, and the next guy is Monty Haul, it won't work. <Insert various other clashes> So it'll work for some groups and not for others. When we did it, my buddy was the DM who created the world and did the main plot, but I would throw in some side adventures - with minor loot and XP.
In a lot of ways, I prefer it. I get attached to my characters and don't want to change to a different one when we get a new DM - I'd rather keep playing the one guy.
One episode we still talk about today is what we call "tag-team DMing". My buddy was running, but he got up to go to the bathroom. At the time, we were in a dungeon crawl, so I slid into his chair and threw a wondering monster at the group. When he got back, he shrugged, sat down in my chair, and started running my character. I DM'd for a couple of rooms making it up on the fly. Then I got up to give him back the reins, but someone else said "my turn" and grabbed the DM's chair. So I took HIS character, and the game continued. It was a lot more fun than I described here, but I'm glad it was a one-time thing and not something we do all the time. (And FTR, when we rotate DMs, each DM usually has his own character to rotate in. It was just this one particular time that we ran each other characters.)