Couplers work fine for me - I use the EBS gold ones:
Pros: They are very rugged and won't fail on you like a Geroge L cable can if it's repeatedly plugged an unplugged. You can sometime get your pedals closer together than you can with a cable, depending on the pedals and their positioning.
Cons: Pulling the pedals off can put strain on the jack sockets, which could be an issue if your pedal has the jacks soldered to the board. Also some pedals have gently sloping sides so the the couplers end up pointing slightly up in the air. The 442 and BB in the pic above were like this, I losened the nuts a little bit to take care of after making sure the jacks weren't soldered to the PCB! Sometimes you just can't use a couple due to location of power and jack sockets. For instance the VT Bass and Carbon Copy having clashing power plugs in the same place, although I managed t work around this by squeezing the Pitchblack in there!