I am occasionally frustrated by them but am usually delighted to Go Where No Man Has Gone Before -- especially early in the game when exploration is difficult. It opens up larger parts of the map and can help me find the Wreckage before anyone else
Chances are, it's a cheapo scout (as SMACed said) or a freebie worm or rover -- easy come, easy go. After too many instances of having an ogre teleported into enemy territory or being nailed by 5 worms, I usually don't use them for pod-popping.
The real annoyance is if you've reached FM and a unit exploring pods within your own territory gets zapped away, causing riots in home base. Self-destruct, beeeeg bummer. Otherwise, I just wander around pod-popping in the new place with the hopes of getting some more $$$ or rounding up some reinforcements.