Having never attempted outdoor photos, I don't really know... but my assumptions:

Pros for outdoor:
- Premade sets!
- Obviously more natural settings.
- Interesting built-in light and shadow effects.
- Huge variety of backdrops to choose from.

Cons for outdoor:
- Inclement weather.
- Inconsistent lighting.
- Curious neighbors.
- Abundant scale problems.

Pros for indoor:
- Highly controlled setting.
- Easier to apply lighting and other environmental effects.
- No chance of rain delay.

Cons for indoor:
- Much more effort involved in set creation.
- Fewer potential angles.
- Different but still considerable scale problems.

Personally, I find indoor shooting on custom sets more desirable... but again, my experience is lacking. Part of it is that I just don't have a good place to shoot outdoors, though I do like the idea of building my own detailed environments over trying to find good ones outdoors.

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KungPhu (personal site)