1. Is it worth it? Well, that is subjective, but in my opinion yes, it does. Especially so when your phone is expensive and/or we use it without any outer protection layer. If you think that you have wooden fingers and every day your phone slips down on the floor, I think it can be pretty worthwhile to shell out a couple/dozen/a larger number of bucks per month for some peace of mind.
2. What does it not cover? Honestly, quite a number of things, at least the basic variant of the warranty. Broken display? Nope. Cracks and scratches? Nope. Water poured inside? Nope. Overheating due to holding the device in your ass pocket? Nope. Battery reshaping due to using a wrong charger? Nope. Long story short, most of the damage that you have only yourself to blame for will not be covered by the warranty.
3. What does it cover? Well, that depends on the seller. Most of the basic warranties cover theft and unauthorized calls & connections. More advanced & more expensive warranties can also cover many of the things I have listed above, like cracked displays or water damage. Again, it depends largely on the seller. So does the warranty's price: it can be as low as five dollars per month or as large as two hundred.