What do you have against transformers?  Capacitor multipliers just don't work out except for small currents. Capacitors that can handle even a couple amps are really expensive.  That said, I think you should try and build one.  It will be an education.

The efficency will depend on the number of stages, as the number of stages increase the time constant to charge the mulitiplier and losses will increase exponentially.  In a multiplier with a large number of stages you can encounter a condition known as a "starving multiplier" where the losses in charging the multiplier exceed the input power unless you start using huge capacitors.  As stated unless you are trying to achieve high voltages at very low levels of current, there is very little advantage to this type of design unless the number of stages is very low (ie you want a doubler to have a high voltage so you dont have as much current through your magnetics).