In some ways you have more flexibility with a command (you can do union statements, subqueries, etc.), but commands are harder to maintain because they are developed manually (or by copying and pasting from a query). In versions prior to CR 2008, you can only use multiple value parameters in commands by using a workaround.
I do find that commands are generally faster, but I would ordinarily use the CR GUI for a report as it is easier to work with, unless there is some feature that requires me to use a command. For a complex report where I need a union or subqueries, I am very glad to have the command option available to me.
This is a complicated question, and my response is only what occurs to me at the moment. I'm sure other factors weigh into other people's decisions on this.
-LB