As Zag says the HEx is undoubtedly good but it is very expensive.
As a rough rule of thumb if where you're going to in Central London is north-ish and only one tube ride from Paddington then the HEx is definitely faster ... otherwise it's not so clear cut. (Whether it's worth it depends on who's paying I guess)
e.g. Consider going to Holborn
HEx - up to 15 min wait time, 15min journey , 5 min transfer on to tube, 8min journey to Oxford Circus, 5 min transfer to Central line, 3min to Holborn
Total - 36-51mins - fare £16.00
Tube - up to 5 min wait time, 51min journey
Total - 51-56 mins - fare £3.50 (£2.00 off peak)
(don't pay cash on the tube - get an "Osyter Card" or buy travelcards to save money -
www.tfl.gov.uk)
I'd certaily avoid the tube at rush hour with luggage - but outside of rush hour it's perfectly tolerable and boarding at Heathrow you'll always get a seat. It's not as comfortable as the HEx trains but it's not exactly wooden benches and full of people transporting chickens to market
There is also another non-tube train service from Heathrow - the "Heathrow Connect" - which is a stopping service from the HEx platforms into Paddington ... it's kind of pointless though for central london - it's a lot slower and though cheaper than the HEx it's much more expensive than the tube - only really useful if you're going to somewhere like Ealing between Paddington and Heathrow (which is fair enough as that's what the train was designed to do -
http://www.heathrowconnect.com/ )