A good place to start to take a look at the possibilities is the video library that just went up. BlackBerry - Developer Video Library
The main Pros are that you get with going MDS Application are:
- full on device integration with PIM and other applications.
- You can add menu items into existing blackberry PIM apps
- launch custom 3rd party apps from your app or have them launch you
- Save data locally and interact with it offline
- Store and forward for queued up data to go to your back end
- Interact with server web serivces
- Native look and feel with icon on the ribbon
- push support for data
The main Cons to the MDS Application are:
- Your screen layout options are more limited than say HTML/CSS
- They need to be installed through a BES (BlackBerry enterprise server)
- The new BlackBerry Bold has DHTML support that isn't available in MDS Application
Both can do GPS if the device supports it.