Considering how many you can get from one instance run and how fast, it's a nice way to make some extra gold if you have enchanting!
You also get lots of greenies that disenchant into sometimes even more valuable dusts and essences!
Here are some of the most valuable materials and where to obtain them. If you're doing this on a level 85 toon, you don't have to think which instance is the fastest, you will hit the 5 instances/hour limit very fast in every case. If you dont have a level 85 toon, better to level one there! :)
Scholomance
Small Radiant Shards
This was better pre-Cataclysm when you could aggro the whole downstairs from the bridge near the entrance, making the instance both faster and more fun. (In soviet Scholomance the mobs come to you!)
Engineers can still however aggro the zombies and skeletons in the cellar by tossing a Saronite bomb into the ground when you're above the cellar. The blast radius goes through the floor and aggros everything downstairs. Less running, unless you're going for the boss in there! Some other bombs may work too, haven't tested.
Stratholme
Large Radiant Shards
The instance is divided into 2 parts, "living side" and "undead side". You may want to stick to Balnazzar's "living side", depending on what you are farming. Both large shards tend to drop from that side. You can find mostly Small Brilliant Shards in the "undead side", which are not worth the effort usually.
Blackrock Spire
Large Brilliant Shard
This instance is huge, but every boss drops a Large Brilliant Shard. In addition to that, every greenie will disenchant into Illusion Dusts and Greater Eternal Essences if you choose to annihilate every monster in your path.
This instance is divided into 2 zones too, Upper Spire (UBRS) and Lower Spire (LBRS), the first one being a former raid instance. Upper is on the left side behind the stairs.
There's also valuable chests in this instance which may contain very valuable profession recipes, so in my opinion, this instance is the best one to farm large brill shards!
Blackrock Depths
Large Brilliant Shard
You should focus on the upper city, since the lower part of the instance gains you mostly Small Brilliant Shards which still are not worth anything sadly. There's the handy "mole" next to the entrance portal so you don't have to run into the upper city anymore!
Overall, depending on your realm's prices, its easy to make a few thousand gold pieces in a very little time, possibly even more if you find a valuable treasure chest on your way.