For around $10 more for the CycloDS Evolution over the English version of the R4 NDS, I think it is worth it spend the extra money for some of the extra features. Features I like include:
The in game menu: This is nice because it inadvertently acts as a pause for times when a game might not let you pause, like during movies or dialog. I know many times I've needed to pause a game, but can't because hitting start either skips over important dialog or just doesn't do anything. This is similar with Xbox emulators like ZsnexBox, MednafenX, or practically any other emulator.
100% Download and play: This is a great thing, as everyone else has mentioned.
Realtime save and load: This sounds like a nice feature to have once it is enabled with future updates. Activated through the in game menu.
LCD brightness adjustment: Is it just me, or am I the only one that likes the option of being able to change the LCD brightness through the in game menu with the CycloDS? I never see anyone mention this as a plus really. I think it is great, especially if your DS battery is running low because you can just bump down the brightness if you want.
The slow down advanced feature is the one thing I don't really care much about at all. To me, this just seems useless, but I suppose it could be a nice feature to have for some games.
With the newest R4 update, it also supports Auto-DLDI patching so there is no pro for the CycloDS over the R4 for this feature anymore. Also, as stated in other posts, the R4 team is working on getting to 100% download and play.
The only real advantage I could see with the R4 is the price, and as dbgtdob stated, you can get the chinese R4 for around $25 (
DealExtreme - $25.33 for R4 NDS)
Now I was unaware that you could change the Chinese version of the R4 to English, but this is what dbgtdob said. I'd have to look into it, but if this is possible, that could save you like $30 right there. At that price difference, it's hard to say which one I'd want to get. If it is indeed possible to completely change the Chinese version of the R4 to English, then I might get that instead. But then again, $30 to me isn't all that much money and I might be inclined to get the CycloDS Evolution for those extra features.
In the mean time, I go off to look for documentation on how to convert the Chinese R4 to English.
Edit: Evidentially, it's as easy as downloading the English firmware and patching it to the Chinese R4. I thought it would have taken some sort of finegaling!
So, I guess keep this in mind.