It is much cheaper in the long run to buy your own than rent them on the ship. I have a Motorola set I bought several years ago, but we haven't brought them on a cruise for probably 3 years now. It's just another thing to hassle with. If you do use them just remember to not have them loud.
Also - there are two frequency ranges (FRS and GMRS) and some radios have both. Legally speaking, you can only use the FRS channels unless you have an FCC license, which is needed to use GMRS frequencies. Also note that in some countries the use of radios is illegal. You can google the FRS and GMRS to read more.