Here's my pro/con list
Mechanical
Pros:
Simple
Fails to stuck on (i.e. safe)
Stock/no modifications
Cons:
Turbulence whenever car is on. Your manuals and instructions will blow away every time you start the car. Also spins so you have to watch your hands whenever the car is on.
Whoosh sound - let's face it, we like the V8 sound. The whoosh sound is lame.
Must remove fan to get fan shroud out of car when working in engine compartment.
Electrical
Pros:
Quieter
Less turbulence, even when running. More efficient at pulling air through the rad only instead of spitting it everywhere.
Easier to remove fan shroud to work on car (see cons though)
Cons:
Failure can lead to destruction of engine, and even more quickly AC compressor (BTDT)
Fan Controllers all of questionable quality
Need an alternator upgrade (and preferably no underdrive pulleys)
You do the wiring. All the "kits" come with half-assed wiring solutions.
The reliability of your fan is based on your own decisions and your own wiring solutions.
You should put a quality connector in so you can remove the fan/shroud without "unwiring" your fan controller.
Need to splice in to AC wiring to provide a fan turn on when AC goes on
I suggest some sort of override (to fan on) so you can get home when the fan controller fails.
Fan controller temperature sensors either have to get shoved through the radiator or you have to figure out a way to screw them in somewhere.
A lot of the problems with electric fans are the fan controllers themselves. With a mechanical fan, the car warms up to operating temperature and sits there. With a cheap fan controller, the temperature goes up above the thermostat temperature. Then the fan kicks on and pushes it back toward the thermostat temperature. But, it has to stay slightly above the thermostat temperature so the fan doesn't constantly run. Then the car heats up to kick the fan on again and cools down again. Every time you look at the temperature gauge it is slightly different and you get concerned. More expensive setups with variable speed fans and controllers that control them get pretty expensive. Previous owner of my car did a bad job and I tried to keep it working with a cheap fan controller. Caused me problems and I spent quite a few hours waiting for the car to cool off or traffic to dissipate so the car wouldn't overheat. I finally wired in a hack to turn the fan on and leave it on when I wanted to. All of this also lead to me blowing my AC compressor, which is more expensive than doing an electric fan right. Don't even get me started on having a stock alternator and underdrive pulleys with the electric fan.
Mechanical fan just works, no real worries. It was a good feeling to rip all that dumbasses wiring out of my car and throw it away.
Cost of entire mechanical fan $89.
Cost for electric:
Alternator upgrade ~$150
Good fan controller ~ $200 if you have AC, $130 or so if not. Some people have been OK with $40 controllers, mine wasn't reliable (and didn't turn on with AC)
Fan itself - varies based on what you get. More than the mechanical if you buy new, cheap if you choose junkyard.
I plan to eventually do an electric fan right ... maybe. You need to plan it out and not just buy parts and hack them into the car and think it's going to "upgrade" your car.