Some good, but mostly bad. The common denominator in Escort Missions seems to be poor AI with no instinct for self-preservation. When you just rework the AI for the enemy NPCs into something that doesn't shoot at you, frustration ensues. I remember Natalya well, and Rafa from Final Fantasy Tactics made the Riovanes Rooftop mission almost as hard as the one before it. If they can't make an escortee's AI more flexible, then at least consider the context and have them behave accordingly.
Of the few good ones I've seen, Dr. Carol in Perfect Dark comes to mind. Since he had strong shields and stayed a good distance behind you, it hardly felt like an Escort at all. The only way he could die is if you shot him by accident. Furthermore, once you'd cleared the way and gotten to the end the game automatically considered the mission completed without waiting for him to catch up. Elvis was more vulnerable but still held his own, only ever dying to melee or explosions.
As demonstrated in any number of vehicular combat games such as Rogue Squadron, stationary targets are easier to protect, and it feels like less of an escort that way. If you're protecting a building, it's not going to jump in the way of your guns or attack something it can't handle. I would say any Escort mission would be manageable if the escortee was slowed down to a snail's pace, but sped up to meet you at the exit once all threats were eliminated.
EDIT: Oh, and Banon in FFVI was okay until Ultros, given that the squid had a hidden timer after which he would ONE-SHOT him (it's after he says 'You frighten me!').