I have 3 lathes (Rockwell 10 x 36, Clausing 12 x 24 and Grizzly G0709 14 x 40). All three have collets, 4-C on the Rockwell, 5-C on the other two. I leave a 5-C collet chuck on the Clausing and a 3-jaw on the Grizzly.
PROS: A lot of my work involves turning brass; collets grip essentially on the whole 360. No marring of the brass with collets like the jaws of a chuck would do. Run out on my collets is 0.001" or less, so no worries taking something out and remounting it and staying on center.
CONS: Not a large range of use for a given 5-C collet, have a 1/64" stepped set on my Grizzly, 1/32" on the Clausing. Since they are sold in 1/64" increments, I'd have to guess that the range for a given collet isn't much over 0.017". The ER (extended range) collets let you cover a wider range of diameters with a given collet. Lots of guys on the forum have built their own ER collet chucks, but they are available commercially. My Grizzly 5-C set up cost me around $500 for the lever style closer and the 1/16" - 1 1/8" by 1/64" set of collets. That doesn't include the set of square ones I have also. The Clausing has a CDCO 5-C collet chuck and the 1/32" stepped set from 1/16" - 1 1/8" that in total probably ran around $350.
I love working with collets because of the brass work I do. I jump to the Grizzly if I'm turning steel and use the 3-jaw (has <0.002" run out), go to the Clausing if I have a one-off job in brass or aluminum. If I'm making multiples, I'll use the Grizzly and pull the 3-jaw and use the collets. It was mentioned above, really depends on what you are doing with your lathe if you need them or not. I've never run a poll on this site for "who has collets" vs. "who doesn't", but I'd hazard to guess most guys in a small hobby shop (like mine) do not have them.
Bruce