I suppose you also need to take into account any "knock-on" effects. If the aircraft ends up in the wrong place when there is another service scheduled out of the original destination and/or the crew runs out of hours etc!
As has been said, it all depends but generally my gut feeling is that if you have the fuel it is worth holding if you expect the wx will improve or you will eventually get an approach.
Its also worth thinking tactically sometimes - if you have oodles of fuel to hold with and everyone else diverts then you might end up at the beginning of the queue when it all opens up again!! Mind you this can also be a reason to divert early. I remember wanting to get to LGW one night a few years ago. It was obvious to me that the weather was not going to improve for a while so I diverted to BOH before the rush. It was quite entertaining sitting on the ramp at BOH watching everyone land after us. We were first for fuel etc., got ops to file the plan to LGW and then we were first to get airborne again on our way to LGW when the weather picked up.
In a nutshell, this type of decision is part of captaincy - you dont always get it right but you learn from your mistakes, hopefully!