I am someone who actually needs supplements. I have at least a moderately bad case of Celiac disease, the one that everybody knows as "that disease wot gave us all those gluten-free freaks", but is much lesser well-known as being a disease that makes it so the digestive system is not as good at extracting nutrients. I have experienced, diagnosed, and corrected several deficiencies in myself over the years. (Sometimes I feel like I have to pack my digestive track with nutrients the way one has to pack a black powder pistol... get in there, you stupid nutrients, tamp tamp tamp...)
So unlike someone who is just sort ambiently taking nutrient supplements in the vague hope that maybe they'll be helpful, I have actual symptoms to compare them against and see whether they address the issue.
So I can tell you with great confidence that there are a lot of very bad supplements out there. What you find in the grocery stores may be worthless. What you find in speciality stores may even be worthless. Fortunately, you can usually find things online.
Several people here have mentioned magnesium deficiencies as being one of the common ones. Unfortunately, if you just walk down to your local drug store and buy magnesium supplements, what you'll get is magnesium oxide. Fans of chemistry may recall that oxygen binds pretty tightly. I don't know exactly how bioavailable that is, but I can certainly attest that when I switched to the chelated magnesium you can find online and nowhere else I've seen, I saw huge differences very quickly. Trying to supplement magnesium via magnesium oxide seems to be about as successful as trying to supplement your iron by eating iron oxide. Won't work.
The drug store also stocks a lot of supplements that use a lower-quality or less bioavailable version of whatever it is. Vitamin D seems to have gotten enough attention that they mostly stock the good ones now, but a lot of the other ones verge on worthless too, despite their labels claming to have 1000% of your RDA.
The good news is that you can find good stuff if you look hard enough. The bad news is that it can take some time and effort. The weird news is that often the good stuff isn't all that much more expensive. Do you want to spend $7 on something that doesn't do squat or $9 on something that does? The former is hardly a savings....
Anyway, I would say to anyone who does feel like experimenting, do a bit of research and at least try with something that may actually work. The data is useless otherwise.