I did a 5k the morning after the first insanity DVD and got a good time (for me) but I'm not going to do the insanity programme as a whole until after the GSR in October. Just did the first one out of curiosity more than anything.
I'd say that if you have quite a good fitness level before you start, it's ok to do the DVDs every day, or to alternate doing insanity days with running days. But if you're still training your muscles to take on that sort of load, you'll do more harm than good if you don't take rest days. Every time you're doing that kind of intensity you're causing miniscule injuries to your muscles and skeleton that need time to heal or they'll get worse and you'll end up putting yourself out of action for weeks. Rest, Nutcase, REST!!