Sensored pros:
Smoother starts and low speed operation, virtually zero lag
Sensored cons:
More expensive, more delicate electronics
Sensorless pros:
Simpler, more robust, cheaper
Sensorless cons:
lag (they use EMF feedback to determine rotor position, will sometimes turn the wrong way momentarily), low speed cogging (for the same reason), generally less tuneable.
Ultimately, in most applications, there is little real world difference. In upper echelon racing it matters, and you would definitely want sensored for a low speed crawler or scaler. For bashing and club level racing? If you're on a budget like most of us are, you're better served to spend the same amount on a higher quality sensorless system.
Having said that, the difference in cost is pretty negligable in many applications, sometimes only $20 or $30.