One con is that if you ever need warranty service and they replace it, you'll get a refurb without the engraving. So just don't be too attached to the engraving. I've never gotten any of mine engraved, but my mother did as a present, and was upset when they replaced it when it died with one without the engraving.
I am surprised they did not give you the engarving. I just know Applecare took care of a nano of my friend's and it came back engraved.
Pros: It's always going to be yours and it may be fun for 10 minutes.
Cons: It's like personalized license plates. You run the risk it whatever it says being stupid as **** next year. To resell would jack your selling price down as Blue said. And finally, if you buy a case it'll most likely be one that doesn't let others see the engraving.
Me: I have a 60gb 5th gen not engraved and a 4gb Red Nano 2nd gen engraved. It was engraved with 150 11-11-06. It is a number and date that is significantly important to me. I will most likely never sell the nano, actually, I'll
never sell it because it was bought for a reason other than what most would think and it was engraved with that very reason. If that makes sense. I have a clear case, no one has really seen it, I work out with it and such. I wouldn't get my everyday iPod engraved though for the cons listed above.