Even as main characters, though I don't tend to do it myself. I do, however, tend to make them at least gentry, with perhaps a noble a generation or two older. In both cases, the characters will have more power and so ability to act. If what you are interested in, in characters, is their decisions and deeds, it's wise to give them power, especially power enough to make them influential, which lends importance to them by causing consequences. Also, it lifts them above a constant worry about quotidian needs, which can be a drag, but aren't really a problem for royalty unless they've got a much larger problem. (Uncle trying to starve them to death, for instance, or losing a crucial battle.)
Of course, then you've got to give them a problem that needs that kind of power. I don't generally go for royalty because I don't go for the really high stakes that epic fantasy often does, which need them. Then, I do drag in royalty as secondary characters because they can clean up things like nobody's business.
And, of course, being royal is no guarantee against suffering the slings and arrows of outrageous fortunes. (An assertion I make for reasons predicated on johncwright . 0:)