The main advantage I see to lock-ons is that they are easy-on/easy-off. Lock-ons are great if you're the sort of person who likes to tinker around w/components.
I've read that lock-ons are less likely to slip. If you're the sort of person to really wrench on the bars when climbing and such, then lock-ons are worth a look.
The above are the two advantages that I'm aware of. Disadvantages include weight (more of it) and cost.
Jeefnut22 mentioned ESI grips. I like those too. They are tough to remove though, which is an advantage because they won't slip when riding, but a disadvantage when you just want to remove parts to build a different frame.