Cons: Kydex will scratch your blade's finish. Ballistic nylon may retain moisture, other liquids and imbed dirt.
Pros: Kydex may offer better retention, more carry options, can utilize TekLoks systems, harder to accidentally penetrate knife through. Nylon is typically cheaper, can have a strap for retention, can include carry pouches and are easier to swap knives with.
Both are fine, it's really a personal preference.