http/www.aquaticfoods.com/LiveBlackwormsM.html
This page covers all the pros. The only con I can think of is that some people don't want to keep them in their refrigerator. Plus you need to rinse them them every day or two.
They only live about a week in the refrigerator, so get enough that you know your fish can eat in about a week. I like to cover a cup of them in plastic wrap to prevent escape and dehydration.