During long fights, Arcane Shot's mana inefficiency can make it a less attractive ability. However, that doesn't make it useless. Working in a few shots, especially in fights that end before mana becomes an issue, can boost your dps.
Arcane shot can be very powerful in PvP. Mobility is the key in PvP, especially for ranged classes, and the burst nature of this shot is also welcome. This is an often overlooked fact because arcane shot deals arcane damage, which bypasses the heavy armor of Warriors, Paladins and Death Knights.
If you are specced Survival, forget this. Explosive Shot deals more damage, and hits three times. It also costs only 2% more base mana.
In high-end raids, Marksman Hunters eventually get enough (300-400) Armor penetration from their gear, making Steady Shot better choice. It still can't be fired while moving, so it still has it uses.
Patch 2.3.0 (13-Nov-2007): Arcane Shot (Ranks 6 and above) now dispel 1 Magic effect in addition to their normal damage.
Patch 2.0.6 (23-Jan-2007): The base damage for Arcane Shot has been reduced by about 9% and the bonus damage from ranged attack power reduced from 20% to 15%
/Patch 2.0.1 (05-Dec-2006): Casting lower ranks of Arcane Shot than your maximum rank will now reduce the bonus you receive from attack power.
Patch 1.7.0 (13-Sep-2005): The tooltips for quick Hunter shots have been updated to show them as instant abilities.
Patch 1.5.0 (2005-06-07): Special ability shots no longer add the ranged weapon speed or take into account ranged weapon haste when determining the actual cooldown. The tooltip and cooldown timers should now properly reflect the actual cooldown.