We describe our experiences with on-orbit calibration of, and scientific observations with, the Fine Guidance Sensors (FGS), white-light interferometers aboard Hubble Space Telescope. Our original goal, 1 milliarcsecond precision parallaxes, has been exceeded on average by a factor of three, despite a mechanically noisy on-orbit environment, the necessary self-calibration of the FGS, and significant temporal changes in our instruments. To obtain accurate absolute parallaxes from these small fields of view (3' × 15') observations requires a significant amount of ancillary reference star information. These data also permit an independent estimate of interstellar absorption, critical in determining target absolute magnitudes, M_V, often the key result of a parallax program. With these techniques we and our collaborators have obtained absolute parallaxes for 21 astrophysically interesting objects. We briefly discuss a recent determination of the parallax of the Pleiades. HST routinely produces parallaxes with half the error of the best Hipparcos results, a precision that continues down to target V = 15. The FGS will remain a competitive astrometric tool for the generation of high-precision parallaxes until the advent of longer-baseline space-based interferometers (SIM), or the failure of some key HST component.