Keg Pros:
1. Looks cool.
2. Consistent form factor with HLT and BK.
3. Can be direct fired (I think this sounds a lot better then it is in practice).
Keg Cons:
1. Loses heat quickly.
2. Most insulation that you can put on cannot remain on during direct heating.
3. Realistically you should be recirculating with a pump during direct fire to prevent scorching...$$$.
Cooler Pros:
1. Holds temp really well.
2. Introduction of heat has to be done via infusion, steam, or heat exchange (HERMS/RIMS).
3. Light weight
4. Easy to clean.
Cooler Cons:
1. Not as purdy.
2. Needs to be kept at a safe distance from other burners.
3. Not as durable. After repeated heatings to 180F, the walls will eventually warp.
I've done the manual cooler based system before and I'm currently using a 3-keg single tier system. If I started all over again (and I might in the future), I'd go with a 2-cooler RIMS/HERMS with electric heat and a single kettle over a gas burner for boiling (See Pol's project). That's not to say I can't use kegs for this purpose, but I'd essentially turn them into expensive coolers by applying a huge amount of insulation to them (See Wortmonger's project). This has the advantage of a keg's durability with the heat retention of a cooler.
The ability to step mash was one of the experimental urges I had when designing my system. Like Pol suggests, it's kind of a fringe deal. I've step mashed exactly two batches (Belgian Wit and Lambic) and it's really questionable if it matters in the grand scheme of things. I think a RIMS with electric heat tube still retains this ability.