Mine is set to auto lock after 5 min. Enough time for me to pick it back up if I forget to do something. The advantages are the casual user can't see my phone contents. Understand that setting a passcode won't keep the determined out. Treat your iPhone like a personal computer, as it stores as much personal data.
I don't see that many disadvantages. If you have data you need to protect the first step is to set a passcode. I have mine set to wipe the phone after 10 attempts as well. A hint I learned is to set a complex password, but stick with numbers. You won't be bothered with a keyboard to type it in and it still can be somewhat complex as well as simple/fast to type in.
This is exactly my setup aswell and my opinion! Also, if the OP has pictures or videos that he wants to remain private, get "PictureSafe HD" from the Appstore, and then upgrade to "VideoSafe HD" via In-App Purchase. It's a fairly good app to store private stuff and keep "snoopers" out