We rarely miss it when staying at a MK resort. It was an added surprise to our very first WDW experience in 1977. While at the CR, we heard this special music blaring in the dark out over the lake and suddenly the lights of the floats came on, we were awestruck. Everyone on the beach applauded and we couldn't wait for the next night to see it again. It was like our own special show, treat for picking one of the MK reosrts but back then, there was only the CR, Poly and FW areas.
Even now, when we stay at the Poly or WL, we make it a point to catch it as many nights as we can, it just Disneys way of saying, good night. For a little tid bit, its been running since the beginning of WDW, some music has been added and nary has missed any nights, except for some hurricane damage, I believe last year, for a while, I'll be corrected on this by other posters.
If you're staying in a MK resort, ask, and then wander out to the lakes too see it.