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.