Storing in Database:
Pro
Backing up your database, also backs up your attachments
Does not consume any of your file system storage limits (unless mysql storage counts)
Con
Can increase server load on large forums
Storing in File system:
Pro
Better performance for large forums
Easier to backup your database
Con
Does not work if SAFE MODE is enabled on your server.
Need to backup attachments separately from database
Consumes space on your file system
Looks like I got them mixed up.
Basically:
If you want speed, back up on file system.
If you want space, back up on database.