Personally I find the HEX reasonably priced (for what it is) when I use a Network Railcard discount (I rarely travel in the peak period where the railcard wouldn't be valid). That said it becomes much less useful for me when Crossrail launches.
The Heathrow Express:
- Does offer a notable time saving over the Heathrow Connect, although depending on where you start from the Tube may not be any slower when you take into account getting to Paddington for the HEX. I still prefer the HEX to the Tube even though the TfL journey planner says from where I live the door to door time on the tube is only about 10 minutes longer, this is because the HEX is more comfortable and has better luggage space. The Gatwick Express offers no real time benefit.
- It does have a more premium feel, the standard class seats have antimacassars and there's mood lighting by the doors and TV. The Gatwick Express has the same seats as any other Southern train (although they're in red, as VTEC will tell you that's important)
- If you're crazy enough to pay first class* for such a short journey you get one of the most spacious 1st class seats around in a 1x1 configuration. The Gatwick Express uses the same first class as other Southern trains (same seats as standard)
* To be fair they do offer free upgrades to certain top tier frequent flyers and also four upgrades a year for Heathrow Rewards premium tier customers so not everyone in first class is paying a fortune.
So although the Heathrow Express is expensive compared to the other public transport options at least it does offer some benefits over the other options, that's something I can't say about the Gatwick Express.