Tungsten is a very hard and dense metal. The high density makes it desirable to for adding weight to firearms.
As a rule of thumb, the harder the metal, the more brittle it is. I know that tungsten electrodes, as used for TIG welding, chip and sometimes break when they are dropped on a concrete floor, particularly the larger sizes like 3/16" and 1/4". I would assume that under normal care a tungsten guide rod would last for a long time, but I have read some first hand accounts to the contrary.
I don't own one myself, but I have been toying with the idea of getting one. To be honest, I am not really sure what to think.