The key scenario in which you get benefit from PLINQ is something like this:
int[] src = Enumerable.Range(0, 100).ToArray();
var query = src.AsParallel()
.Select(x => ExpensiveFunc(x));
And you do get real benefits.
See the article here for more details on when it's useful.
I've seen benefits when, for example, I'm trying to evaluate an expensive iterative numerical method in order to compute a series of Y values from a set of X points for graphing.