In my opinion, no. It's quite expensive, with a 12,000 gold initial purchase cost. There's also a 500 gold fee to clean up the blood and body parts. Purchasing all the furnishings will set you back an additional 10,000+ gold.  You can outfit Hjerim with a lot of useful things like alchemy and enchanting labs, but it's too far away from Windhelm's fast travel point for my taste.