The biggest problems are losing your warranty and possibility of bricking your phone. Those are the two biggest problems with rooting.
The biggest benefits are: free wifi tethering, no Carrier IQ on select roms, better battery life, overclock(make your phone run faster), multiple looks for your evo, having the ability to upgrade to the next version of Android before it is officially ported by HTC and Sprint, the best benefit in my opinion: the feeling of having control, of feeling smart for rooting your phone, and being able to look at iPhones and say my phone is better. But right now, I am running the new Ice Cream Sandwich rom ported recently. It isn't up to par with other full roms, but it will be and surpass those roms soon enough.