Matt Laur , Apr 11, 2007; 02:58 p.m.
Well, the direct-to-the-camera method only works if you've got the camera turned on, so you're running down the camera's battery while working with the data. Second, any time you tether your camera directly to anything, there's always the risk that a cranky USB port could spike voltage or otherwise do something that the camera won't like (or which may damage it).
That being said, I've hooked up my D200 directly to my laptop plenty of times (for tethered shooting, or because I left my card reader in my other pants), and not only have never had a problem, it's a very FAST connection, relative to most card readers. But that battery sure takes a hit, using it that way.