I had an unsatisfactory experience with dry hopping using pellets. Both of the problems I had have been mentioned already, and I now know they can be solved easily.
I was very careful when I siphoned my beer from the conditioning carboy to the bottling bucket. Nevertheless, I got a lot of loose suspended pellet hop debris in my bottling bucket, and every single bottle of my ale has hops suspended in it. The hops did not settle out completely in secondary, even though my beer conditioned for over 3 weeks.
My bottling wand got clogged full of hops. I had to take it apart and rinse it thoroughly part way through bottling. Once I was done bottling, I cleaned up and thought all was well, but when I bottled my next batch the following day, I discovered I had dried hops in my bottling wand that rendered it completely useless. It took quite a bit of rinsing and fussing to get it all out.
I bought a nylon hop bag, fine mesh. Problem solved, I hope. I'll know the next time I dry hop.
The ale, by the way, despite the suspended hops floating in it, tastes great!