I don't trust batteries.. They tend to crap out on you when you can least afford it. Also, if you leave your stompboxes plugged in, your battery will drain, even when not playing.. Not cool..
I've heard that batteries supposedly sound better but I can't tell the different. IMO, the only advantage batteries have over a power adaptor is that the battery will provide cleaner power (perfectly DC). That means pedals that are susceptible to humming or buzzing due to poorly rectified power adaptors will be quiet with batteries.