Duo -->
- parts are easier to come by,
- it's supposedly has slightly faster access times than the attachments setups according to some folks here,
- in most cases, this should come out to be cheaper than the CG+SCD-ROM2 setup,
- it's also easier to do the region mod if you choose to do so (though not impossible with the CG, it's more of a tight squeeze).
CG + SCD-ROM2 -->
- you have the option to throw in the SuperGrafx in the setup (though that's a huge monster of a setup).
- seems less prone to dry capacitors that the Duos are afflicted with (a pretty easy fix when/if it does happen).
And that's about it.
IMO, if you don't need the "all-in-one" SuperGrafx setup, going with the Duo makes more sense.