For me, the disadvantages of a pump are that you have to monitor your diabetes much closer. I had expected that to be the other way around. And that you always carry your 'diabetes' with you. That can cause a feeling of dependance, but the way I look at it, I was already dependant on insulin 24/7, only now I carry that insulin with me as in attached to my body. To me that also gives some kind of a safe feeling, though.
The advantages are that I have more control and my BG's are better.
It's quite fun to me to feel that I am the one in control over the balance in my body.
With a pump, it's easier to adjust the insulin to the rest, instead of the rest (eating, exercising) to the insulin - although you shouldn't overestimate this, because sometimes it still doesn't seem to work that way after all, but it comes closer.
When I have a hypo, I often eat too much - I usually don't feel a hypo coming and catch myself in the middle of something that feels like I'm somewhere between flying/falling and spinning really fast, and at such a moment I don't think about a few hours from now, only about eating the bad feeling away. So with a pump, I just count the carbs and give a bolus
Naturally, a high can still follow a hypo of course (because of the processes in your body when you have a low), but with me it's less bad this way.
With me a hypo is over sooner because there's only fast working insulin in my body. They said I would have less hypo's as well, but this has proven to not be the case
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When I have a high, I can give a split bolus or let my pump spread it's release over a longer period, which helps me to not go down too fast, resulting in a hypo and often another high after that (etc.).
So over-all, the balance is better and easier to manage.
I insert in my abdomen, changing the site every three days.
I carry the pump on my belt or in a cover that can be attached to my bra, so that it's on the side of my body, under my arm. It's not in the way of my movement there at all, and invisible to others. When I need a bolus, I can hear the beeps and/or feel the vibration signals that it gives. It took me some time to find the buttons blindly, though, and had to go to the bathroom to get it out and be able to see it in the beginning, but it was easy to learn.
When people see my pump on my belt, they sometimes ask if it's a mobile phone, to find out what it is. The occasional 'my aunt lost a foot' stories occur, and often make me decide to try the attached-to-my-bra version again for a while.
Sometimes when I insert it hurts a tiny little bit, for a tiny little minute, just like injections sometimes do, but not always. Usually it stops when I take the needle out of the canulla (the canulla is made out of teflon, which is flexible, and is inserted with a needle, which you then take out and the teflon stays in). One time it kept hurting and I took the canulla out - some blood came out, so I knew that that had been wrong.
To make inserting easier, I have a little device that 'shoots' the needle in with one press on a button - very clever and convenient.
Yes, you sleep with a pump on. I used to have a rubber cover for it, which made it softer, but I don't have that one now anymore (reminds me that I should order a new one). An elastic waist band keeps it in place. Sometimes I change it's position when I turn to my other side, but that's not always necessary. You can safely ly on it, it can handle your weight. I carry it next to my right hip at night, so that it doesn't put pressure on a bone, because that doesn't feel comfy. I've got used to sleeping with the pump on.
Cold/hot weather does not affect the pump - it's been made to be carried on humans and work under all circumstances. When it's freezing - I mean really freezing, not a few degrees - you may want to carry it on your body (which you usually do anyway) to keep the insulin from freezing.
I had a pump in 2000 and stopped using it because (among other reasons) I hated having to prepare the insulin and put it in the right bottle or whatever that's called. I now have a pump that works with prefilled penfills, the ones that can also be used with an insulin pen. Another thing that caused me to stop is that my old pump had needles that could not be taken out and that were not flexible. Too often I would just bow down to pick something up, or make an unexpected movement, and the needle would hurt me. This pump has flexible, teflon canulla's - I think most pumps do, now. You can always choose from different canulla's and infusion sets. Length of the infusion set can vary, as well as how deep the canulla goes, and you can insert under different angles (90 or 45 degrees). When you insert under a 45 degrees angle, they don't have a 'shooting' device to insert the needle, at least not that I know of, but if you don't mind, you can insert it by yourself, of course. There are also different plasters to keep the thing in place, for different types of skin. And if inserting hurts, they say that making the place on your body cold with ice or a cold pack helps, and they also have special cream that aneasthatizes it within a short time (I think you can insert right after you put the cream on, even).
I hope you don't mind that it's become such a LONG post!
Still believing I have to be the Perfect Diabetic for no good reason 
Nowhere to put the pump while being nude or at least without pockets or belt...
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