The only cons would be during the setup. If you follow the instructions for whichever distro you intend to install, once it's set up I don't see any cons. While in the past I used to wipe Windows off of my machines, I now leave it on, so I can help if others have problems with it.

I use EasyBCD when I dual boot, it's Windows approved, so it doesn't interfere with the Windows bootloader. On this link here, at the bottom of the page, there are detailed instructions on how to use it with Fedora and Ubuntu.
http://neosmart.net/wiki/display/EBCD/Linux

Some distros set up their own bootloader and allow you to boot Windows from that, many do it automatically for you. You should read the link I gave you, then, read whatever instructions come with the distro your going to dual boot with before you start your adventure.

The pros are that you get to keep both operating systems on your computer, although, the only time I boot up the Windows side on my laptops is to keep Windows up to date. Oh, and one of my business associates likes using Go-To-Meeting, which is a Windows only program. There are Linux alternatives, but he's stubborn.

If you have any other questions, feel free to ask.

BTW - "Getting started with Linux" might have been a better forum, but, here's good too. If you have more detailed questions, we could move it to that forum, it might get more responses.

Edit: I see Aron beat me posting, he's got good pros and cons and has good advice also.

EasyBCD gets installed inside Windows. After you install your linux distro, whether it be from a CD, DVD or netinstall, before you make your first boot into the new distro, you boot into windows, open EasyBCD and let it configure the bootmanager to find the linux distro (which it does automatically, it searches the partitions for instances of grub).
Then, when you restart your computer, a boot manager appears asking whether you want to boot into Windows or Linux.

The only tricky part is when you're installing your Linux distro. During the disk partitioning, you have to make sure you don't write grub to the MBR (Master Boot Record). Actually, this is the tricky part whether you're using EasyBCD or not. If you write grub to the MBR, then you overwrite the Windows boot manager. All is not lost however if that mistake is made, since the Windows recovery disk will allow you rewrite the bootmanager.

I've done this process a bunch of times and have had problems myself, which is why when I'm making a dual boot I always have the Windows disks close by so I can fix what I break. Right now I'm planning on dual booting an Asus EEE laptop that I just bought, but, since the laptop doesn't have a CDROM drive, I'm making sure that I have recovery programs written on bootable USB sticks in case I have a problem. This is not to scare you off of dual booting, but, one must read and know all the steps beforehand. You have to know how to make room and partition your hard disk, you have to know what partitions contain your Windows install and you have to know what partitions are empty so you can install Linux to the correct partitions and not the partitions containing the Windows install. Finding out all this info is easy, and, we can help you through it, step by step, but, it's up to you to familiarize yourself with the steps before you proceed.

Hope this helped.

BTW - It's not as scary as it sounds, and, even though I use the EasyBCD method, some distros set up the dual boot automatically, they just use the Linux bootloader instead of the Windows bootloader. It's not my choice, but it is the choice of a great many Linux users that dual boot. If you want to go in that direction, maybe others here can chime in with their experiences.