In order for Vue to be able to use a DEM file it has to be converted to a USGS ASCII DEM file as far as I know. It's the way I have been doing it according to the tutorial I brought up wrote by "hclbaumbach", I believe. It works very well and doesn't take much time at all...
Here is an animation I made quite a while ago using the DEM of Mt. Bachelor:
http://www.youtube.com/watch?v=FmfWmGjicOI
I'll post images I made of Diamond Head in Waikiki and the Koolaus on Oahu.
But yes, one can basically use the USGS site as a Google Earth and download any part of the US and stuff into Vue without that much work...