I do it cause I can get get them printed huge. Plus no place in town will print film for me (can't really afford it even if they did), and don't feel like tapping together 11X17 transparencies with 45 dpi halftones, not gonna happen. Thats just me though.
We use this method for everything. Getting large sized transparancies is just too costly for us. It is messy. but if you use your noodle you can keep it under control.
As for pro's and con's,
Pro is that it is cheaper!
Con is that you can loose detail.
The oil absorbs into the paper, changing the size of the paper ever so slightly, so prints that involve tight registration won't always come out as easy. Also you get air bubbles between the paper and emulsion that can either mess with you image if not flattened and weighted properly, and sometimes effect the exposure.
Make sure to clean up your exposure unit afterwards, cuz that shit gets sticky when it starts to dry and can glue dust to the glass...
I use vegetable oil, or corn oil, baby oil smells nice, but is too thick. Stay away from olive oil...