For me, different stories require different formats. Just like some stories are meant to be novellas, some are meant to be short stories, others are meant to be novels, and still others are meant to be screenplays.
I've had some stories that I just couldn't seem to work out as a novel, but as soon as I switched to writing them as screenplays, they came pouring right out.
As far as advantages/disadvantages to each, it depends. Selling a spec screenplay to a producer can be just as difficult as finding a publisher for a novel, if not more difficult. You can make your own movies, just like you can self-publish, but the former requires a lot more time, a different skill set, and potentially a lot more money.