You can get involved in a COST Action through various means and steps, as explained in http://www.cost.eu/participate
In short, you can join as a member of a workgroup of the Action (wide open), as a management committee member (or substitute) - nominated by your country for an already accepted Action, as a proposal submitter - almost automatic nomination, as a (usually Ph.D. student) researcher participating in short-term scientific missions (STSM), etc.
If it is interesting? I think yes and that's why they are there (and receiving funding) for some 40 years now.
IMHO: Being involved as an external expert (e.g., to evaluate proposals) is the hardest path as your role assumes that you understand how the whole thing works so as to provide a fair evaluation. While there are guidelines in place to help you with this, having first-hand experience by being involved in some Actions is much more useful.