well really it depends on the person....i cba messing about converting to cia, and really i like to be able to switch games about while its in use (although im testing rom hacks so that wouldnt really be an issue for most people),
advantages of cia
1) you can decrypt your saves and potentially use save editors, or hack them yourself(not may editors about, and the main one for pokemon works with .3ds roms anyway
2) you dont have to set up header (again hardly a big advantage....like 30 seconds the first time you use a game and the its done)
3) it looks "pretty" (if your into that kind of thing)
4) can be quicker selecting games as they can be sorted into folders etc
5) true real time saving, (i.e if you pulled the battery out after saving in game it will of saved with cia installed games, where as you always have to make sure you either power down properly or close the game for .3ds saves to be saved properly, while this isn't an issue 99% of the time, if the console crashes and you haven't exited out of the game for a good while with a .3ds rom, save loss may be pretty bad)
Advantages of .3ds/.3dz
1) they are much easier to get
2) they are playing as intended and show up to the system as a cart(lets just say theoretically the ban hammer ever does get swung....playing cia files of games never released on eshop would be pretty obvious)
3) you dont have to worry about data managment ever going all terminator on your entire setup
4) there is no need to install every game you want to play.....the installation is pretty slow, so the time spent setting up a header for online games is lost in installing them as cia anyway)
5) as easy as copying a bunch of files to backup all your saves....no need for running SDF....which means you can switch between saves etc much quicker, and its easier to get hold of shared saves as 99% of them are in .sav format rather than extracted for SDF
6) you can share the gateway card between consoles without having to install games onto each console you use
7) using a .3ds file is as easy as copying it and playing, whereas if you cant find a .cia file of a game, you would need to spend a bunch of time dumping xorpads, extracting the game and repacking
basically it all depends on how important you rate all those features in their level of importance to you