Having had 2 babies (drug free/natural) using a TENS machine for both, I would not consider attempting labour without one should I have another child! It was the major factor that got me through without needing any other pain relief. I would pay thousands for one if it came to that! And yes, as mentioned above, you need it from start of labour for it to be effective (not once you get to hospital).
For those considering using one, I recommend being very familiar with how the machine works well before you go into labour, otherwise it may not be effective as you can't learn to use it while in labour IMO. I would forgo use of water in preference to the TENS myself (personal experience/opinion of course).