I'm sure there are more things to consider, but:
Con: More expensive than rectangular for same volume.
Con: Since they are taller, heat stratification can be an issue is colder climes.
Pro: Works better for smaller grain bills, due to a deeper grain bed.
Pro: Better for fly sparging when properly equipped with a false bottom.
Con: Wide base means a shallow grain bed for small grain bills, making filtering harder.
Con: Fly sparging is more difficult unless you are good at DIY. Most brew shops have pre-built fly sparge systems for round coolers, but not for rectangular ones.
Pro: Much cheaper for the same volume compared to round coolers
Pro: Since they are shorter, access is easier. You don't have to climb quite so high on the ladder with a gravity system. Plus, your brew stand isn't quite so high.
I use a 10g rubbermaid round cooler from Homes Depot, which cost me around $40 after tax. For the same price I could have purchased a Coleman Extreme 72 qt. which would be nice for 10 gallon batches. I like the round cooler, but the volume is just too small for doing 10 gallon batches over about 1.065. Other than that, I'm completely happy with my round cooler MLT.
EDIT: here are some mroe pics of my DIY on the 10g: http://www.homebrewtalk.com/f51/mash-tun-upgrades-99258/