Cons:
Expensive.
Laggy.
No Post-game shows.
You are on a 15 second to 1 minute delay and there's nothing you can do about it. (This is especially annoying for those of us following the Ranger board's GDT.)
Technical issues at times.
Blackouts.
In my experience, I've never dealt with lag. I've had GCL and multiple providers over the years (Comcast in DC, MD, Verizon in MD, Cox in CA) and I can probably count on one hand the number of times I've dealt with noticeable lag or stuttering.
The delay is present but varies. There are times where I'm a half-minute behind what's going on in the GDT, and then there are also times where I'm one of the first handful of people to post "Goal!" or something.
There were two or three occasions last season where for some reason everyone was locked out of their GCL accounts for the first few minutes after the games started. The GCL thread on the main board lit up those nights.
The reason I stick with GCL is that while these issues are present, they are infrequent and less significant than what I'd find using the free streams online. Those streams could have massive lag, bad stuttering, quality that ranged from very good to awful, and were prone to being shut down. Even the guys that regularly streamed the games in private rooms (like Rags2Riches) would have far more issues than the GCL streams. Eventually I just decided that I'd rather pony up the money for something that's high quality and reliable, rather than trusting that I could find a good, stable stream each night.
One other benefit to GCL--you can choose which broadcast you want to watch. I hated that when surfing for a stream that I would frequently only find the opposition's broadcast, and everyone here would be talking about something Sam and Joe were highlighting. That in itself was enough to get me to go to GCL.
As a side note to all this, I know some people really like HockeyStreams.com. That's another pay service and some people swear by it. I've never used it myself, so I can't vouch for reliability or quality. It's out there though.
