Pro -> Anonymity. Well you have to show your face, but not your POR and bank account details.
Con -> Robbery risk. It happend in the past and it will happen again. If you meet with someone in person you might get lured into a trap, hit on the head and have your money and/or coins stolen.

An exchange might rob you as well, but at least you dont get hit on the head.

LocalBitcoins for me. I'm a New Zealander and it's not easy to buy from many of the already established exchanges out there and even if they do accept international customers, it can takes days to weeks for the funds to show up in your account. Plus wire transfers have huge fees and many of the payment processors that exchanges use tend to be quite shady as well. Not sure if the situation has changed since last year but I remember BTC-e also had a minimum deposit size that was far too large for someone like me who just wanted to buy a few BTC at a time.

New Zealand does have a few exchanges of its own and I've used services which allow you to buy BTC via a credit/debit card but I've found that neither option is any cheaper than buying from LocalBitcoins anyway.

As long as the buyer/seller has a good feedback score and trade history, then it should be pretty safe too. I've bought and sold using LocalBitcoins >20 times over the past year and all my trades have been very satisfactory so far.

Circle and Coinbase both are popular.  There are some other one's aswell.