Master studies are very good to help one with painting, broadening stylistic tendencies by understanding how the masters painted certain things, and to simply improve by challenge.
This was a master study of a painting by John Singer that I did back in February. The original painting is to the left, and my sketch is to the right. It's a little embarrassing considering my skill is nowhere near John Singer's, but we all have to get over the embarrassment and inadequacy to become better.
I didn't capture the face very well, but this madam's body turned out okay, considering that it is the more complex part of the painting (much more stylistic and less rigid and defined). I chose this painting because the contrast of her white face to the rest of the painting is really remarkable. I thought it would help me with understanding contrasting a little bit more.
Generally any time can be spent working on a master study, but I prefer to only work on one for a few hours spaced out in a few days. To me the point is not to entirely copy the artwork, but to get the gist of it, making sure I capture what I set out to capture. If I were to try to make a near copy of the artwork then the point of the master study changes from learning to something else.