Another vote for Namecheap - I transferred most of my stuff during the 'elephant shooting' incident (wasn't very happy with GD anyway), and never looked back.
I purchased my first domain with namecheap yesterday and was happy with the process. I will probably transfer my existing domains to them as they expire.
If the company goes under or becomes a tyrannical nightmare you don't have all of assets in one place. You may lose your domain, you may lose your website, but not both. (And if you're smart you will have your website backed up).
If your account with them gets compromised you could lose everything
Some hosts won't let you transfer your domain name or make it nightmare to do so in an attempt to lock you in. By not using your host as your registrar you eliminate this possibility.
Cons:
You have more accounts (with logins, passwords) to keep track of. If you change your email address you have to go back and change it everywhere.
You have more accounts that can potentially be compromised. You won't lose everything but there are more opportunities for it to happen.
This is a reasonably sensitive topic.. but one theory is that grumpy people could contact a web host and ask that a site be taken down (e.g. copyrighted content, unlicensed software on server, even if not true). If the domain is held by a separate domain registrar, and there are recent backups of the site, it is reasonably easy to set up at another hosting provider. If the domain registrar and the host are the same company.. in theory a new domain may need to be obtained - depending on the company.
While I realize I sound incredibly paranoid, you may want to do some research into the issue. I have.