As someone who is currently finishing up a PhD I have the following thoughts:
1) Learning through coursework can be beneficial, but it is in many ways the lesser benefit of grad. school. Learning technical skills is generally better done outside of a higher ed. environment. Learning a systemic approach to practice is often better done inside of one.
2) The network you develop through attending the right school is invaluable. If you already have a thick professional network within the field you would like to work in (UX, IX, what have you), the value of continuing higher ed. is more limited
3) Not all schools are equal. The quality of any educational experience (but especially graduate study) is dependent on the people, both students and professors. Attending a competitive program generally means better students which means better learning.
4) Program selection is also important. Finding a program with faculty you want to learn from is really key. If you plan on going to grad. school, do the research to find out who is where, and make sure they'll be available (i.e. not on sabbatical). In addition, connecting with faculty members before you start a course of study means they'll have an eye out for you both in the application process and over the course of your degree getting.
Most of these points are pretty universal. Some of them might vary depending on the program.