I've been lurking around this site but feel like I should contribute given the topic. I finished an Erasmus Mundus Master's a couple years ago. The scholarships for third country (non-EU) students are fantastic, though the fixed stipend means that students in countries with a lower cost of living get a much better deal financially than students heading to expensive Western European countries. The academic quality of the program will depend 100% on what universities you're placed in -- or at least, that was the case for my program.
Good luck to all of you!
And an edit, to respond to some previous posts -- keeping in mind I'm coming from the point of view of just one person in one of these many different programs:
have2thinkboutit, I *think* you're talking about Erasmus, not Erasmus Mundus. Erasmus is just European study abroad; Erasmus Mundus is an umbrella system containing specific Master's and Ph.D. programs that include study at at least two different universities, usually in Europe. It's a related but separate program, and even in Europe people usually won't know what you're talking about when you say you're doing "Erasmus Mundus."
pdh12, just moving around during the Master's was a treat, but Ph.D. programs sound a bit more intense if that's what you're heading into! Realize that you'll have to deal with housing and the local language in each location. If you're the kind of person that likes to dig into academic topics and you don't want to emerge until you graduate, Erasmus Mundus will be a shock, but if you don't mind a lot of your learning taking place outside the classroom, one of these programs could be great.