I've owned one, and traded it on on a better .22.
The Henry shoots well, as well as any other lever .22 that I've handled, so that wasn't the problem. I had difficulty with the plastic front sight and barrel band (be warned that the plastic is quite brittle, and will break if you knock it against anything hard while walking around). Also, the magazine spring was not the world's greatest, and sometimes I'd have misfeeds which were attributed (by my gunsmith) to that weak spring. Also, the trigger was not very good on my example, and couldn't be improved much by my gunsmith.
For those reasons, I can't really recommend the Henry. I would suggest buying a Marlin Model 60 (for about $100 at Wal-Mart) to play with, and save your money to buy a Winchester 9422 or the Marlin 39A. Sure, they cost more money, but you're getting a rather higher-quality gun.
That's my $0.02 worth, anyway... YMMV.