MSC mode allows direct access to the Sansa for utilities like MP3Tag, where you can export the embedded album art as a jpg file for display. MTP mode does some cool things in the background, placing album art images in the Albums folder automatically. It also allows playlist generation via a simple right click from Windows Explorer if you are into playlists.
If you have your collection loaded in one mode, it can get confusing when viewing the Sansa from the PC, since files loaded in one mode are invisible while in the alternate mode.
From the player itself, however, all files are accessible.
If you’re comfortable adding album art images manually, MSC is great, and does allow easier manual control. You can build a list of your music files very easily in MSC, compared against MTP’s perference for using a media manager like Winamp, Media Monkey, or Windows Media Player.
Though many may cry foul about the misgivings in using MTP, remember that it was designed as a virtual mode, where the player is seen as a media device, rather than just a flash drive. MTP is necessary for protected media and audiobooks via download too.
I use both modes interchangeably.