Yes it is definitely worth it. Basically, you can see alot of these monkey running around the area as well as on the slopes. It will be better if it is snowing. Remember to buy some snacks, food and drink when you are at Nagano station or Yudanaka station. If not, you will not be able to find any water and food at the monkey park. Basically it is very deep inside the pine tree forest. You will need to buy a ticket to access the monkey park.
If you are going during winter season (from mid Dec), then i guess most of the onsen or shops will be opened.
Are you planning to go to Shiga Kogen or stay at the Onsen ryokan at Yudanaka? The bus to monkey park is not very frequent. So you need to plan your trip and determine which bus timing you want to catch on your way back to Yudanaka station. If i remember correctly, the bus timing is 1 bus every 2 to 3 hours.
But if you are staying there, you can actually walk from your ryokan to the monkey park and you can take your time there.
I am going to Japan again to experience the height of winter season next Feb 2010-14 days. Will be travelling from Tokyo to Sapporo by Shinkansen using 14 days JR pass.
I was at the monkey park in early jan, too bad it wasn't snowing when I was there. The monkeys there are pretty docile and I was barely 30cm away from them at times. Nothing like the thieving ones you get in Bali or Langkawi.
It is actually possible to walk to Yudanaka station if you don't mind a few kilometer hike. You could just take it easy, look around the onsen area. There is a Kannon goddess statue (Kwan In) somewhere along the way that probably makes for some nice shots.
Some pics of the monkeys with my p&s, no touch up or cropping done, some overexposed

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