Glenn Reynolds promoted a Milwaukee Sawzall, this morning, and late on a Friday, I couldn’t do otherwise than offer some notes.
The Milwaukee version of this tool is a satisfying piece of equipment, but the brand isn’t but so important, in this subcategory. (I own a Porter Cable Tiger Saw.) There are a couple of notes worth making on all such saws, though:

1. This is not a finish tool. One of Glenn’s correspondents mentions using his sawzall to cut rusted bolts on a toilet seat. That’s more daring of a maneuver than it has to be. Any time you need to cut anything near finished surfaces — especially with brittle substances like ceramics — you’re better off with some form of circular blade than a reciprocating one. In the case of bolts, and metal in general, it’s useful to own a grinder with a couple of metal-cutting discs. You can get a good grinder for much less than you can get a good sawzall; they’re smaller to store and to use; and they’re better for most of the non-wood applications for which people typically attempt to use sawzalls.
2. Let the blade do the work. Sawzall blades tend to be relatively inexpensive, and in one of those chicken/egg scenarios, they tend to wear out quickly. The key in all circumstances is to put minimal additional pressure, beyond the weight of the tool, on the saw while cutting. I’ve cut a 12″ high steel I-beam with a decent sawzall blade, and I’ve also worn out decent sawzall blades on thin metal pipes because I was impatient.
3. The position of the blade matters. Most sawzalls allow reversal of the blade in the shaft, and for some reason that I’ve yet to figure out, it does make a difference. Installing the blade downward (teeth on the same side as the trigger) makes for faster, more aggressive cuts, but installing the blade upward typically permits more control.

As an aside, though, I’d like to correct another of Glenn’s correspondents, who called the sawzall the “most useful tool ever invented.” Assuming we’re putting aside obvious victors, like wheels and hammers and screwdrivers and chisels and such, and focusing on more modern power tools, the most useful of the bunch, by far, is the Rotozip. It takes some practice to control them, and they’re not ideal for every job (of course), but once mastered, they’re the closest thing to being able to look at something and cut it with your eyes.