I had never owned a sump system until about 8 months ago, always had all-in-one systems. From my personal experience I feel that the sump system has been much simpler and more consistent. Like Blue Z said you have a much better selection for equipment that typically have much more high quality and efficiency.
Also I went to a 36" tank foot print, Red Sea reefer 250. Love the tank! Also you can typically find them used in great shape from people who decided to go bigger.