Pros: less drag therefore better mileage, maybe. Less wear on your axle shaft and drive shaft u-joints etc etc.

Cons: When unlocked, you won't be ready to jump into 4x4 (i.e.front wheel drive) mode when your rear half shaft snaps. Simply putting the car in gear or applying the parking brake will no longer functions as a means to keep the vehicle from rolling.

Also, If I recall correctly, the Transfer Case front output shaft may see more wear on the supporting pilot bushing as there will be more relative motion than if the hubs were locked.