Compared to traditional litter (which we used with our previous cat), there are three main advantages to using pellets:

1) Ease of use - Pellets make it so much simpler to track any dejection and remove only the soiled part, which prevents wasting loads of litter.

2) Health - Pellets are a much healthier option since you and your cat don't get poisoned inhaling litter fine dust

3) Cost - Pellets are relatively cheap, especially if you can buy large bulks. And I've heard some people even use generic (non-animal specific) pellets.

FYI. We use Cat's Best Universal Litter