I'm a cloudflare user for 1 1/2 years and zero issues with it (but my hosts seems to have issues with it... even being a certificate partner).
I just added to top of the cmsini.inc file this lines of code
$_SERVER['REMOTE_ADDR'] = $_SERVER["HTTP_CF_CONNECTING_IP"] ? $_SERVER["HTTP_CF_CONNECTING_IP"] : $_SERVER["REMOTE_ADDR"];
$_SERVER['IPCOUNTRY'] = $_SERVER['HTTP_CF_IPCOUNTRY'] ? strtolower($_SERVER['HTTP_CF_IPCOUNTRY']): '';
To make sure that OLD modules get the right IP and not the one passed by cloudflare. The forwared GEO-IP service is awesome and so easy to implement.
Speed improvements: Yes, specially if you're loading a bunch of facebook/twitter/google buttons to your site.
What kind of issues is having that website?
Since DF10 will auto minify scripts ands CSS i thinks i leave cloudflare and maybe move to incapsula or join the site google sitespeed service.