Since the depth of field is proportional to aperture, pressing the DOF preview button closes the aperture to show the real DOF, but it limits the light, do the image is darker.
For example, if you set an f2.8 lens to f8, the lens still stays wide open at f2.8 until you take the shot, when it momentarily closes to f8. This is so that it can do the autofocus with as much light as possible.
That is why most cameras will not autofocus with lens and converter combinations which push the maximum aperture towards f8 - not enough light.
I used the DOF button more when I was starting out with an SLR - now I have a feel for what aperture to use I don't bother much.
If DOF was critical to a shot, I would take test shots and review them on the LCD
screen now that I have changed to a DSLR.