My horse is microchipped :) I wouldn't do it myself but it was about the same ($40 or so?) to have the vet do it when they were out for vaccines.
I've always gotten my small animals (dogs and cats) microchipped. Really, the more people who chip their horses the more effective it will be. If it becomes more common, more places will have scanners and that will start becoming one of the first ways to identify a found horse.
You can use it to prove ownership but I think the better peace of mind is that if you become separated from your horse on the trail or they get away from you it allows your horse to tell people who they belong to with a name and a phone number.
Having an external "dog tag" on your horse's saddle or bridle can be a good idea too but it's so easy for them to lose that and there is no telling what they will or will not be wearing if they ever become lost.
There was a horse last summer in my area who got separated from their owner out on the trail. There was a hunt for days looking for this horse and it inspired most of the bigger barns to have "microchipping days" where a vet would come out and be ready to do microchips on any horse who had $30.
It can't hurt and it's not too expensive. Hopefully I'll never have to use it but it could make all the difference just in case
Edit: Branding/tattooing can work too I guess but it seems so much more painful and invasive than a tiny little microchip. My horse didn't feel his or flinch. Also, I think visible brands are pretty ugly and you can't easily brand your phone number into them!