The pros of using an Applet:
Easy(er) to distribute to all of your users.

Don't have to worry about classpaths (as much)


The cons of using an Applet:
The security Sandbox surroudning applets is annoying to do interesting
stuff with.

Limited to the stuff you can create your applet  with (Swing and AWT), or
at least it would be more difficult to make applications with SWT (which
rocks).