Well, I've been to a few. Keep in mind, that I did these over a 3-year time frame as I started my research pretty early so I do NOT recommend doing as many as I did...Just pick 1-3 at most depending on your goals: Columbia, NYU, Wharton, Kellogg, Michigan, UCLA, Duke, and Yale.
Each one was a little different in length and quality. They all provide enormous value both in terms of exposure to adcom members and students and really getting a feel for the community and your fit with the program. One potential downside, is that you might not get a "true" feel for what it's like to go to the school on a day to day basis since the schools tend to put on their best impression for those weekends.
If you do go to a few, apply, and get accepted, revisit the schools for a regular school visit so that you can make an honest decision about the school. Or you can try to interview on campus. But don't let the diversity weekend be your only data point of experience because you might be disappointed with the reality v. the impression received at the weekend.
Feel free to PM me if you have questions.