From what I understand, picking up off the street can be a fast track into the back of a cop car. I wouldn't know from experience - just what I've heard.
Having not paid for deposits yet, this is how I currently feel about them. Are they always a scam? No. The ones asking for gift cards all seem to be scammers. But the higher-end ones from out of town who post ads in the Perb forum and have good reviews (ie. Sasha Striker, Keissy Hennessey, etc) are asking for deposits. If they have travel expenses and want to stay in something nicer than the Super8, they need some insurance that the guy is going to show up when he has booked a spot and not be a douchebag. It's a dangerous and precarious lifestyle; I imagine they have to deal with some real jerks. Mental health professionals charge the client for a no-show, right? Same thing; that spot could have gone to another client. I figure the more a client is willing to spend, they more likely they're prepared to treat her well and be reliable. It's a very weird balance of trust from both sides.
So I'm not against the idea of deposits if I know from reviews that she's legit - it's an investment in future visits. But I am also not currently in the income bracket of spending $400-$500/hr, which is what some of the deposit ladies are charging. I would never tell them they're not worth that - I bet some of them are. I'm just not able to fork that much over.