I've been paid in any number of different ways -- every week when I worked for a temp agency, every two weeks when I worked for my university while in college, and once a month now. Once a month can be kind of fun, because the check is so much bigger than a weekly or bi-weekly check would be.
It was a little bit hard to adjust to, but I've always been in the habit of spending money after I earn it rather than in anticipation of my paycheck (and I've been fortunate enough to be able to do that).
The one thing that really bugs me about the once a month paycheck is that, because I am an hourly employee and because of the specific payroll practices of my employer, I get paid for a different number of hours each month. Depending upon the number of possible work days, I can get paid for as few as 160 hours or as much as 184. I understand why they do things that way, mostly, but it does make budgeting more of a challenge. I can never be sure of the exact amount I will actually be paid, because things like taxes vary based on my gross pay.
As far as direct deposit, I've had it ever since I started working in college. My checking account now (through a credit union) gives me incredible interest if I fulfill 4 requirements each month, one of which is having an ACH transaction (for which direct deposit counts), but I'd have set it up regardless. The money is deposited and available the morning of payday, so I actually have access to it faster than if I received a paper check. My employer will provide me with a paper earnings statement, or I have the option of going paperless and viewing the exact same thing online through a secure database thing (I can also see my tax information, change my direct deposit, and see how much leave I have available).
I also personally have gone electronic for just about everything. I only write checks to pay rent and for the occasional purchase which is cash or check only. If I didn't make a special point of getting cash periodically, I'd never have any, and I can hold on to a $20 for weeks without ever thinking to spend it. Paper checks are definitely less convenient, because I almost never go to an actual branch of my credit union, so depositing them pretty much always requires a special trip.