It's illegal in many places, but the first place to save money can be on water bill. Often it's worse than gas,electricity,or phone. Segregate the waste from bath and shower. Use it for lawn or even toilet. Is it worth saving a few hunded$ per year?
Solar thermal energy is ideal to distill water. Then you can save even more.
Depends on your water cost and the cost to harvest,treat, and store the drain water. Maybe if you experience droughts and want to keep the lawn green! Commercial applications like hotels in Vegas might be a better application.
I think the drain pipe heat recovery devices make sense for a simple low cost energy device for a homeowner.
... used to be vertical, so there was limited application. Now there is a horizontal unit called Eco Drain http://www.ecodrain.ca/ They will be giving a talk at the ACEEE Hot Water Forum coming up in Atalnta GA. Double wall just is, but units can still reclaim 60% of the otherwise lost heat.