I dont think it looks very good. I'd say its equally easy to make one in 3d max, but still, I would prefer sculpting my asteroids in 3D Coat. Not all in the scene, but those closest to camera. Rest could be made with modifiers.
Tho it's true that terragen makes nice asteroids, but if you're after specific shape, i'd still possibly go for a sculpt..
It's a nice tutorial idea wise tho.