Most studies seem to show that it has an impact, but usually find no difference between real acupuncture and "sham" acupuncture, sham meaning they don't put the needles in the proper places, don't twirl them, etc.. basically trying to do bad acupuncture which if there was any merit to the real stuff then the difference would show up with fewer positive results. But there isn't much difference, and in some cases the sham acupuncture actually gets better results!
There are actually needles going into the skin, so one would expect the body to give some kind of response.. stimulating the opiod system, releasing endorphins and adrenaline and such, in the same way that injecting a patient with saline that the patient thinks is morphine will trigger production of those things. Good for short term relief of pain, but not much more.
http://www.sciencebasedmedicine.org/?cat=8
EDIT:
http://news.bbc.co.uk/2/hi/health/4508597.stm
Maybe you can get a discount and get fake acupuncture!