I do - mine go twice a year. If you think about it, 12 months to them is more like 8-10+ years to us. Two of mine had a health check today (the other three are boarding at a vet surgery while I'm on holiday so will get theirs during the week) - the vet listened to their heart and lungs, checked their ears, eyes, mouth and teeth. They had their abdomens palpated incase of any nasties lurking in there (tumours, in the case of my female, ovarian cysts for example) and of course had their weights recorded.
I would say that if you want to get the best peace of mind out of an annual health check, it should be carried out by a cavy savvy vet, so that they know what's normal and what's not!