Unsurprisingly, it does not work.
As any other "alternative" medicine, it should be treated with the utmost caution, the general principle being "alternative medicine that works is called medicine."
The findings of Visual Training for Refractive Errors CTA - October 2004, a meta-analysis from the American Academy of Ophthalmology, are summarised below by Wikipedia (emphasis mine):
No evidence was found that [visual training] techniques could objectively benefit eyesight, though some studies noted changes, both positive and negative, in the visual acuity of nearsighted subjects as measured by a Snellen chart. In some cases noted improvements were maintained at subsequent follow-ups. However, these results were not seen as actual reversals of nearsightedness, and were attributed instead to factors such as "improvements in interpreting blurred images, changes in mood or motivation, creation of an artificial contact lens by tear film changes, or a pinhole effect from miosis of the pupil."
Wikipedia goes on to quote a second report:
In 2005 the Ophthalmology Department
of New Zealand's Christchurch Hospital
published a review of forty-three
studies regarding the use of eye
exercises. They found that "As yet
there is no clear scientific evidence
published in the mainstream literature
supporting the use of eye exercises"
to improve visual acuity, and
concluded that "their use therefore