Watch those seals.
We had an o'ring on the beer post with a split in it, came out to find a pool of beer under the fridge. The gas was on too.
Haven't lost a cylinder of gas, but have spokedn to quite a few people that have lost a cylinder due to minor leaks. Like Tangent said, that empty cylinder on Saturday afternoon would be bad.
Like the others have said, use what works for you. Forced carbonation, balanced systems, natural carbonation, kegs, bottles, PET and huge fridges with 10 taps all have their place.