If the iso is burned as an image then yes it will play on a dvd player, if it's burned as a data disk, i.e. just as an iso file then no it won't.
As for the pro's and con's:
An ISO is a straight disc image and can be burnt with any CD burning software whereas VOB files are DVD specific and must be burnt with a DVD burning programme. However a DVD disc image will (usually) be over 4 Gb so you will need to be using Win 2000 or XP to handle that size of a file. VOB files (being usually 1Gb) can be used with any Windows operating system.