Cash games vs. Sit-n-Gos for a new player
If you are looking to start down one of the two paths between Cash games and Sit-n-Gos and are starting from scratch there are pros and cons of each.
The pro to cash games is that you can drastically increase your stack in a shorter amount of time. A single hand can easily take you from $1.00 to $3.00 if there are two others in the hand. In live games I've gone from $50 to $700 in a matter of an hour or two. The downside is you can lose that money just as easily. I once went from $800 down to $200 on two bad beats within 15 minutes of each other. Granted those are extremes, but things like that are possible in cash games.
As stated above, another pro is that you can get up anytime you like. Win that $3.00 and you can leave the table and join another to ensure you don't lose it.
The con to cash games is that you can re-buy-in consistently so it is very easy to fall into the trap of having a bad day and chasing your losses. As stated above, you can lose your $1.00 in one hand, then you're allowed to re-buy-in for another $1.00 and can lose that, etc. You can really chew through a bankroll in a short time in cash games.
Similarly, even if you walk away each time you lose your money, there's still the chance you will lose it again the next time you play, making the cycle just a little bit slower.
Another con is that cash game skills aren't the same as MTT skills. If you decide to get into MTTs, you won't be starting from scratch, but you'll have a harder time adjusting to the different style of play.
The main pro to Sit-n-Gos is that you get to play a lot longer on a single buy-in. With even a little skill, you can last an hour in a Sit-n-Go for just the single relatively low buy-in amount. This means even if you are only a little good you burn through your bankroll a lot slower.
Another big pro to Sit-n-Gos is that those skills translate to MTTs, Each table can be treated like a Sit-n-Go to make it a ways at first. Later on as you develop true MTT skills and start making final tables, the final table is essentially a Sit-n-Go where everyone starts with a different amount of chips.
The major con to Sit-n-Gos is how long it can take to build up your bankroll. You probably have to play 4 tournies to match the winning potential of an hour on the Cash game tables (assuming you are equally good at either).