Both hop pellets and whole hops are advantages and disadvantages.
Hop pellets are compact and take up less storage space. Being finely ground they once in the wort they have a great deal more surface area than whole hops to interact with the wort during the boil. Generally speaking, with all things being equal one should use about 10% less hop pellets than whole hops.
Being compressed into pellets the surface area to volume ratio of the dry hop pellets is less than that of whole hops. As a result, pellets tend to store better; there is less area to react with any air that might be present.
I find hop pellets good for most purposes but unlike calmscott I don't particularly like using hop pellets for dry hopping. Because of the fine grinding, hop pellets are more difficult to contain. This is not to say they cannot be contained in a muslin bag but I had problems the times I've used hop pellets for dry hopping.
Whole hops take up a bit more space in the freezer and are not as stable in terms of storage.
One advantage to using whole hops is that they form a filter bed when pouring the cooled wort into the fermenter and help keep at least some of the hot break out.
I would say, however, the greatest advantage of whole hops over pellets is a matter of aesthetics rather than practicality. You are not using something that has been processed. You can clearly see that whole hops were once part of a living plant. There is a connection with history. Brewers have been doing exactly what you are doing for hundreds of years.
Cheers,
Scott