The upside of the MAS is that upgrades are pretty easy, and the licensing can be beneficial if you're sharing your Apple ID with a bunch of computers, say in a family. And some prices are pretty good.
But the Apple ID thing can be a hassle. Transferring a license is virtually impossible (not an issue with a $5 game but maybe with Lightroom, e.g.). And upgrade paths can be opaque; usually upgrades are free until you have to purchase what is, to the MAS, a whole new application. But the cost evens out (maybe; still waiting to see how this goes with Aperture. But the iLife suite, even before the MAS, offered no upgrade path, just a new version at the same price. Not necessarily more expensive, but something you might wanna account for).
Buying from a developer generally gives you more control over the application, not just because it doesn't have to conform to limiting Apple rules. It's difficult to run old versions of MAS apps, while many developers keep downloads of older software around and continue to support it. They might also make upgrades, beta versions and other stuff available and they dont' have to wait for Apple approval before sending it out. Upgrading is usually done through the application, and isn't much different from the MAS.
It comes down to the individual application and developer. Go to their support site and check it out. And beware: the MAS store is filled with crap, tons of applications that are just repackaged open source stuff with 10 FAQs on an obscure web site as "support." And stuff is hard to find; MacUpdate.com does a better job.
And finally, a lot of the best stuff is not gonna be the MAS. It would seem that an Apple-sponsored site would have the best stuff, but some applications will never make it through Apple's vetting, especially utilities. And no discounts (there are several quality bundle offers going right now, for example). So shop around.