Well, there is stone skeleton key boss in sunken city, grubb drops wraith statue and it's required for two badges (sunken city and completing all wc quests). Other than that there isn't anything exciting in there.
Yes! Sunken City is fun and challenging! You might need help if you are alower level wizard, which i did when i did it on my life wizard, bun on my storm, i came back and did it at level 50 just for fun.
Of course Sunken City is worth completing. It is indeed very fun and challenging at the same time. You get to gain large amounts of XP (depending on your level) as well as a badge. However, it is always up to you to decide.