Direct contact sprays work quite well when applied correctly. Room insecticides and general sprays tend to be less effective. Bug bombs such as whole room flea killing sprays also work well. In general the sprays work most effectively when used for specific insects and not as general sprays. Try to use as little of the insecticide as possible.
Sprays work differently on all insects, the best options are to remove the food sources, and use traps. In my experience the sprays are not worth the money, smell, or health risk.
if the spray pumps out the content evenly and coats whatever you wanted to spray, this means that the spray works pretty well. especially when what you targeted to spray dies like bugs or fly that means it works.
That's a loaded question. If it takes care of the problem then it's worth the money. There is also the environmental consideration. Are pets affected? Consider a naturual replacement.
The effectiveness of a particular spray depends on many factors including the desired purpose of the spray. Usually an aerosol is easier to use and worth the cost.