Having developed both, I can say that developing a Facebook connect application gives you more control. If you don't need to show information on people's profiles (boxes) and you really just want to publish feed items - FB Connect is a simple solution. You can do other cool things like see what friends you have on FB are using your application, etc. It's a great way to see the effectiveness of FB marketing on your application as well. The number of FB Connected users is generally a good indicator of conversion from Facebook related materials.
Going with a canvas app does increase project risk, in my opinion. The platform is fairly young, and FB often changes things without prejudice. FB Connect is still subject to this risk, but I think it's less significant, and they generally seem to be a bit more caring when it comes to making changes on that side of things.
I pondered this question myself at the beginning of the project I'm working on, and chose to go with Facebook Connect for my main site, but also develop a canvas app as a "lite" version. The reason were:
I think it's about how you want visitors to enter your site/app.
Are the visitors already on your site? Use Connect.
Are the visitors coming from Facebook? Use a canvas app.
You could build both interfaces and share the business logic between them.