I've tested myself with the three main companies (plus the Y and mt haplogroup tests from the Genographic Project years ago), as well as my parents and each of my grandparents. I've been able to cement many of my genealogical lines, and I've even found major leads and hints on some of my problematic brick wall lines (here's hoping even more of those walls will come down in the future), but there have been some surprises as well.
There have been a few cases where distant matches say they were adopted when I reach out to them, and I've been able to help a lot of them. One of them (a fourth cousin of my mother) I was even able to narrow down her biological grandfather to one of two brothers, and she was then able to find which one of them had a daughter that matches what she knew of her birth mother. Despite having asked before and received nothing, after she had the information, she went back to the county office and they confirmed that we were correct. She sent me homemade cinnamon rolls! :)
An even bigger surprise: one of the earliest people I got in contact with after my first autosomal DNA test (at 23andMe) turned out to be connected in an unforeseen way. We initially tried to figure out where we shared ancestry, but couldn't find anything that made much sense, especially since she was a fairly close match to my maternal grandmother. A few years later, at AncestryDNA, one of my closest matches was a woman whose tree looked familiar, and it was because I'd seen it before with the match at 23andMe. It turned out the Ancestry match was the 23 match's mother - it got me looking at that case again.
I looked more thoroughly and found that the mother's maternal grandmother was born about a year before her parents were married. I checked on FamilySearch and found a picture of the whole family, with the grandmother in question as a teenager, and her parents and younger siblings. She stood out like a sore thumb, and didn't look at all like her father or her brothers and sisters, so I suspected there might be something up, and looked into where she was born.
Long story short, I had a strong hunch that my 3rd great-grandfather, who was Norwegian-born, living in Utah, and worked as a traveling sheep shearer and Rawleigh salesman, was the grandmother's biological father, which would make the woman I initially talked to on 23andMe my mother's half-3rd cousin. They thought it made some sense, as some of the family members had evidently heard stories that the grandmother was illegitimate, and the DNA was showing high percentages of Scandinavian, which was puzzling to them. The grandmother was born in a town in Utah about 50 miles away from where my 3rd-great-grandfather's family lived. At the time the grandmother was born, my ancestor had already divorced his first wife, and was yet to marry his second (my 3rd great-grandmother).
We've since confirmed this is what happened by comparing to other descendants of my 3rd great-grandfather and his brother. Every single one of the tested people is a match so far. They also had many others on their side of the family tested, including three of the illegitimate grandmother's daughters. Even better, many of them turned out to be living in the same state and county I live in, and our families have had numerous reunions and get-togethers since discovering each other. It's been quite a trip! :)