Here's a link to a part of the Provident Energy Trust website that has some excellent explanation of Energy Trust Basics:
Another site worth checking out is that of Enerplus (ERF on NYSE) - www.enerplus.com
, which is the largest of the many Canadian Oil and Gas Royalty Trusts.
Last not least is the excellent book "Canadian Iincome Funds," by Peter Beck and Simon Romano (Wiley, 2004).
My personal experience, with 10% of assets in these trusts for the past 5 years, is that they're an excellent part of an energy portfolio and a fabulous complement to, or substitute for, a portion of one's fixed income allocation. The income they provide is a real boon to retirees. As for capital appreciation - take a look at Enerplus performance vs. the S & P for its entire history - no comparison, though in point of fact the dividend income alone from many of these trusts is so good it makes the capital appreciation just gravy.
Downsides? Foreign currency risk (if you consider it one - I llike having some non-U.S.) and an added complexity come tax time.
As part of an energy and commodity allocation the Canadian Trusts are great, and unlike, say, Vanguard Energy or other typical enertgy fund investments (which all buy Exxon, Shell, etc.) the returns on these funds are not meaningfully correlated to large cap U.S. stock and bond markets.
Hope this helps. Oh and on the U.S. equivalent question they do exist but don't enjoy the favorable tax treatment the Canadian funds have. What one can do here that's beneficiasl is buy small amounts of pipeline partnerships (e.g. Kinder Morgan) that make money on transport of oil and gas.