Do you have experience using Wubi and if so, what are the major pros and cons ? I am of course particularly interested in potential problems.
Only use Wubi if you have a compelling reason.
If you're new to Linux and aren't sure you want to keep it, you can go ahead and use Wubi. But consider this a temporary installation, don't invest into it. If you find you want to start customizing things, or if you run into any technical problem, throw the Wubi installation away and start over a proper partition. It won't harm your Windows partition (in fact, it will affect your Windows installation even less than Wubi).
If you have a specific concealment requirement for political reasons (“we don't want no stinkin' Linux on our network”), Wubi is viable, but not necessarily hassle-free.
Note that for hesitant or discreet installations, an alternative in some use cases is to run Linux in a virtual machine: either coLinux (a virtualized Linux running on Windows), for example with andLinux (Ubuntu on coLinux); or a more general VM technology such as VirtualBox or VMWare.