Feels like this should be under the skid steer discussions instead of skiploaders but what the heck...
Wheeled Skid Pros: More maneuverable in tight spaces, faster on hard surfaces like concrete or asphalt, lower initial cost and cheaper to maintain. Sorry benvr, but in my experience wheeled is better for snow removal, especially with chains
Wheeled Skid Cons: Poor traction on soft or muddy ground, can tear up turf easily, less stable on slopes
Track Skid Pros: Superior traction in mud, sand, and soft soil, better flotation - won't sink in soft ground, more stable on slopes and uneven terrain, less ground disturbance
Track Cons: higher costs ( initial and maintenance), slower travel, not as good on snow
If you're mostly working on hard surfaces or doing snow removal, go with wheels. If you're often in mud, sand, or soft soil, tracks are the way to go. In my experience, tracks are generally more versatile. They'll get you through just about any conditions, even if they're a bit slower on hard surfaces. But if you're only working on improved surfaces, wheels will serve you just fine and save you some money.