Inductive types are often the most pleasant to work with, after someone has spent the time implementing some basic library functions for them, using fancy [match] annotations. Many aspects of Coq's logic and tactic support are specialized to deal with inductive types, and you may miss out if you use alternate encodings.
Recursive types usually involve much less initial effort, but they can be less convenient to use with proof automation. For instance, the [simpl] tactic (which is among the ingredients in [crush]) will sometimes be overzealous in simplifying uses of functions over recursive types. Consider a call [get l f], where variable [l] has type [filist A (S n)]. The type of [l] would be simplified to an explicit pair type. In a proof involving many recursive types, this kind of unhelpful %``%#"#simplification#"#%''% can lead to rapid bloat in the sizes of subgoals. Even worse, it can prevent syntactic pattern-matching, like in cases where [filist] is expected but a pair type is found in the %``%#"#simplified#"#%''% version.
Another disadvantage of recursive types is that they only apply to type families whose indices determine their %``%#"#skeletons.#"#%''% This is not true for all data structures; a good counterexample comes from the richly-typed programming language syntax types we have used several times so far. The fact that a piece of syntax has type [Nat] tells us nothing about the tree structure of that syntax.