Veal stock is not beef stock, that's for sure. It has a less distinctive taste, which is good because it works well in sauces without taking them over. It also lends a sense of "roundness" which some people attribute to its greater collagen content -- but I think is probably more a product of its taste. Speaking of collagen, it is the preferred way for jellys (or gelees) and aspics.
It's worth the effort if you can find bones at a reasonable price. Your odds of just running across them in a butcher shop in most parts of the US are pretty slim these days, and they're something you have to order in advance. That usually means never on sale, not sold as "trim," and paying [shudder] retail.
Sometimes meat wholesalers will work with you on this sort of thing, you might try asking the best restaurants in your area who they buy through. A friend of mine just stepped up to exec at good restaurant -- so I took him out to lunch by way of celebration and invited his supplier to come along. I know.
One thing I like to do with brown stocks is paint the bones with tomato paste before roasting -- rather than roasting the paste with the aromatics. I'm not sure why, but it seems to give more depth.
If you can't get veal bones, you can mix a little roasted chicken (brun) stock with beef stock -- just enough by taste to tame its passions. Not the same as veal, but a workaround when normal beef stock just isn't cutting it.