We are doing windows in phases. Yes, it is insanely expensive even for the vinyl ones we're getting, and we're replacing some doors as well which is even worse. But in terms of the mess, it really isn't bad. We used Nova Installations last year to do half the windows in our house and one door and afterwards there was very little mess/debris, all outside.
In terms of recouping costs, our old windows were really bad (original to our 1950 house, and had not been maintained) but I think it would take many years to make it worthwhile from an energy savings angle. We did it more bc the old ones were non-functioning and looked so bad.