Yes I do it as well.  As mentioned above there are a few drawbacks but overall I prefer DNG.  I do not use Nikon's software so that's not an issue for me. However, it also restricts one from using DXO and Capture One software as they will only work with the original camera RAW file and not DNG. 

I'm not too fond of .xmp files and I like the fact, as you mentioned, how DNG's save space by losslessly compressing the file by about 5-10%.  It's also nice to have everything contained in one file including the metadata.  I have been doing it for over 4 years now and have converted all .NEFs to DNG.  One other drawback is that when doing a backup, if you've made any changes, it has to back up the whole file or files and not just the .xmp sidecar file.  By overwriting the whole file, there is a chance for corruption.  Using a normal RAW file with sidecar file will not ever overwrite the original RAW file.  So far, I have had no issues with that.

It really would be great if DNG became an ISO world standard as I think other software companies would implement DNG and possibly even camera manufactuers.

I always convert to DNG, typical workflow is:

1. Import original CR2 files (obviously backed up offsite)

2. Scan and mark those rejected photos

3. Delete rejected photos

4. Convert to DNG deleting originals during the conversion process.

So far this process has worked for me.

I have imported to DNG long before I used LR. I did this in Adobe Bridge and have not changed my practice since adopting LR with the LR3 version. And there are a few camera manufacturers that have adopted the DNG format as their native format, including Ricoh and Leica. I anticipate DNG becoming more common in the future. But I do not anticipate Canon or Nikon giving in until they really have to.