Pros:
1. They save you from breaking the props, but you may break the prop guard instead.
For first flights for sure they are really great, till you get the hang of things.
2. They make the copter very visible, especially if you paint the prop guards, and then help with orientation.
Pros/Cons:
When you add the string to them, this adds an additional item that catches the copter on a tree branch.
The same applies for the prop guard, when it snaps it wraps around a branch and holds the copter there, instead of bouncing off.
This can be a good thing or a bad thing, depending on if the tree is accessible and how high it is.
The damage from the fall is many times, worse than getting someone to climb for it.
Cons:
Some speculate that it makes the craft a little heavier, and a little less maneuverable.
Some speculate that using prop guards increases the chance of rotor wash crash, when you descend too quickly straight down.
(you can search the forum for this).
I am no expert but these are my observations from watching things...
EDIT: Just be sure, that if you remove the prop guards, that you put back the original screws. Many motors have been damaged this way...