I have invested in REIT companies paying monthly dividends and they been quite profitable for me although it needs knowledge to know which companies are worth investing in.
This is one of the reasons I fell in love with REITs in the first place. While in the end it really doesn't matter if they pay out monthly, quarterly or yearly... it's still nice to see that incoming cashflow on a monthly basis. Afterall, aren't most of our expenses on a monthly basis too?