I tend to prefer achievement systems where there is a tangible reward for collecting the achievements.
For example, collecting Battle Trophies in Star Ocean 3 led to more character outfits, music test room, and (eventually) an entirely new way to play the game.
Collecting Accolades in Dragon Quest 9 is not fun at all, since they (a) don't unlock anything (other than Accolades for having a lot of Accolades) and (b) aren't even all possible to get at the same time (i.e. fuck you completionists)
The Halo series has the best overall use of achievements that I've seen. The achievements themselves are well-designed (doing cool and/or funny stuff ingame, or completing difficult challenges). They make available a free download (Waypoint) that lets you manage your achievements, compare your performance to your friend's, and has a "level" system that makes earning the achievements more desirable. And getting those achievements unlocks different armors ingame and Xbox Live avatar items. You're having fun *and* getting a reward, even if it is just a different skin for your character.