Pros:
You always have a selection of different sizes of rats ready to feed off.
Excellent if you're producing hatchlings, and don't have a local supplier of live rat pups.

Cons:
Expenses include the feed, and their bedding.
Very labor intensive--you'll spend a lot more time cleaning and caring for rodents than you spend on your reptiles. How much is your time worth?
Stinky. You should clean at least once a week, but with lots of rodents, there's still an odor.

Conclusion--when factoring in the feed, bedding, and time, they are not less expensive to raise than it would be to buy them. It's up to you.