By the law of averages, all insurance is a waste of money. Insurance companies make money. They do this by collecting more fees than they pay out. In aggregate, they win and you lose.
The real question to ask is, "can I afford this insurance" and "is it worth it to me". If you buy a $250 mp3 player and the "insurance" is $300 and lasts for 6 months, it's a waste of money, because you aren't going to break your mp3 player twice in 6 months. But if it's $20 to insure your $10,000 of camera equipment which has a replacement cost equal to a month of income, then you should probably go for it. It's a bad deal, but $20 is the cost of a few beers, which is also a bad deal.
Anyway, someone makes money on every transaction. That doesn't necessarily mean you shouldn't be a party to that transaction.
Insuring against small losses is a waste of money.
You've got to factor in the margin of the insurance company, but also the time and expense of claiming, keeping records, reading insurance terms, the potential for the claim not to be honoured etc. Better to self-insure - put that money aside into a fund and use that fund to cover your loses for small amounts.
For large losses that you may not have the capacity to cover, it is usually sensible. Where to draw the line depends on how deep your pockets are.
If you're dealing with international travel, you have to read the fine print and be worried about jurisdictional issues, etc. and figure the bureaucracy risk in to your calculations...
e.g. you buy your insurance in France, problem happens in US, and it turns out your insurance only covers you in france. Or you need an apostille-authenticated copy of local police report, plus a certified translation, yadda yadda...
Unfortunately, in the US, lots of things can destroy you: Lawsuits from car accidents, medical issues, not having a car, et cetera.
Nice comment.