I've had success with it. I didn't use any hormones. I used about a 4" cutting and put in on my kitchen windowsill that gets northern light. Any exposure should work. It took at least a month to get it to root. Remove any leaves that will be below water level.

I've been trying to do this for the first time as well. I've got it in a tiny pot of wet sand (I'm not sure whether that helps). It's been a few weeks now and it looks the same as it did when I first took the cutting. No roots yet, though, so it's good to hear from zzackey that it does eventually take root.

Rosemary is very slow to root. I usually use rooting powder/rooting hormone on rosemary cuttings. Someone here suggested putting a twig from a willow tree in with the cuttings. That is supposed to promote root growth.
If you're rooting in water, change out the water every day or two to get more oxygen in the mix

You might also check out a post I made here a few days ago about a new method I've been using to root cuttings.

Thank you everyone! I read up on this process a little, and you're right common cents, the water should be changed every day or every other day. I also read somewhere on a discussion board that when the stem of the Rosemary cuttling starts look fuzzy, like some kind of growth then it's getting ready to root. Has anyone else had a similar experience?

Fuzzy is algae, not roots. If you are having to change the water every day why not just do the cuttings in a pot of medium and save yourself the trouble. Rosemary roots pretty easily that way and there's no transplanting with the concomitant worry about the plant adapting from water roots to soil roots.

I didn't realize that you could just plant it into a medium just like that. What medium would you suggest? Wet sand like Sophie above or organic seed starting soil?

Everything I've read so far and YouTubed, have done the water rooting way. Thank you, maybe I'll do a little experiment and try it both way, see which one did the best

Planting straight into a medium rather than rooting in water is actually the orthodox default method. Use any well draining potting mix. The plant isn't going to have to live in it permanently. I've also rooted rosemary just by sticking pieces into the ground outside. YouTube is not an ideal way of learning about gardening because, although some videos are fine, many are not and one can't necessarily tell the difference. A reputable website or book is a better bet for accurate information. This link is reliable. (Note that it is a UK site so when it says 'compost' it means medium. We use the word to mean two different things.)

Thanks floral_uk z.8/9 SW UK ! Got any tips on growing Lavender plant from seeds

http://forums.gardenweb.com/discussions/3720449/starting-lavender-from-seeds

Nope, sorry - I've never done it. I saw your post but only reply to ones where I have something to contribute. I'm sure you could Google it though.