It really has to be a personal choice based on the type of sailing you do and your budget.
If you can afford it and can get it to work properly, steering to wind or GPS sounds like an attractive proposition.
Keep in mind the purpose of an auto pilot though. It is to relieve the tedium of the tiller for limited amounts of time and hopefully steer a better course than you.
If you are single handing and fall overboard while the boat is on auto steering, it will get to the next waypoint but it is highly unlikely you will.



Commercial fishing vessels fitted with auto steering are required to be fitted with a "Dead Man Button" which if not responded to when the warning light flashes will sound an alarm. If this is not responded to it will cause the vessel to round up.
A "Dead man Button" for yacht auto pilots sounds like a good idea to me.