You get a little bit better utilization from pellets than whole cones. Pellets absorb less wort, so that may be an advantage in beers that use a large quantity of hops.
In favor of whole cones is that there is the potential to lose some of the delicate hop oils during the pelletizing process, and although I haven't been able to distinguish a difference in my experience. Whole cones are also better suited to things like hop backs and Randalls.
I prefer to buy pellets when I can to save space in my hop hoard, but I wouldn't think twice about buying whole hops if that's the only way to get a certain variety.