It won't work - and also won't work with many other ISP's that use transparent proxy's.
My using unblock-us in your router you'll also experience a much slower internet experience as products such as YouTube caches will no longer work (one of the reasons why you should always use your ISP's DNS server).
The work around is to use a decent VPN - I'm no fan of alternate DNS hacks due to all the things they break on the internet.
*Need help configuring your Linksys ATA or IP Phones for New Zealand? Check my blog post
It sort of works. The transparent proxy does interfere with things but primarily if you are wanting to watch content from a browser like Netflix and the US TV network streaming sites. Also Google still thinks you are in NZ so you can't purchase music from Google Play.
But if you watch using a device like an Android phone/tablet, iPhone or iPod Touch, Google TV, Roku etc. then it's fine since it seems those devices stream content on a different port than 80 and the transparent proxy does not interferce with that traffic. I do that regularly.
But the whole thing is a bit variable from my experience. For example using Unblock-US I can occasionally stream Hulu on a PC while other times, I don't get an out of region error but "Sorry this video is temporarily unavailable".
And then on my Roku box Amazon Instant Video works fine but Netflix just hangs when bringing up the list of TV shows.
To comment on Steve's points
1. agreed if you use unblock-us in your router which you would have to do if you were using a device, then it will affect local browsing as you will get the wrong CDN's and response will go to pieces. A way around that I guess is to manually code the TCL DNS servers in each PC that is connected and allow only the mobile devices to access via the unblock-us servers.
2. A VPN is foolproof but there are latency issues. I am currently trialling overplay.net (US$9.95/month) and I put their VPN server setup in my router flashed with DD-WRT. That works fine for all US services including Google Play, Hulu etc. but has a major impact on local surfing. What I have been doing is turning on the VPN only when I want to access US content and turning it off when I don't. That's easy with the plugin to DD-WRT. Not sure I will keep it though. Perhaps whe my unblock-us service expires.
As usual YMMV but this is what I experience.
System One: Popcorn Hour A200, PS3 SuperSlim, NPVR running on Sempron 3000 (XP), Sony BDP-S390 BD player, Logitech Revue, Pioneer AVR, Panasonic 60" 3D plasma
System Two: Popcorn Hour A200 , Oppo BDP-80 BluRay Player with hardware mode to be region free, Vivitek HD1080P 1080P DLP projector with 100" screen. Harman Kardon HK AVR 254 7.1 receiver, Toshiba HD-A2 HD-DVD player, Roku XS media player