I totally approve. While I haven't done so yet, I've borrowed a few cardigans and pairs of jeans from female friends and they looked good. I assume coats would also be good.
Just be careful, because a lot of women's wovens are cut to give you a feminine shape. It's important not to wear shirts that are cut to give you breasts and hips. Similarly, a lot of women's sweaters are fuller or ruched around the breasts; avoid these.
A few women's shirts I seen have been good though, and I like a lot of the details in women's clothing: (very low) heels, half-belted backs, and slim cuts in general. The general freeness of fabric and texture are really nice as well, although menswear is generally made with better fabrics than womenswear.
But yeah, do it, especially if you're skinny or small. Better than wearing some bullshit robe of a shirt from J Crew.