Mod Chip
Pros: No swapping, just put the game in and hit power.
Cons: Antimod software detection (newer chips get around this, or you use a gameshark code), requires soldering a chip in your beloved playstation.
Goldfinger (Called many different things)
Pros: No soldering, gameshark compatible, easy to use.
Cons: Swapping discs for multidisk games is a pain sometimes unless you know what you're doing.
Swap Disk
Pros: No game enhancer or mod chip. Just put the disk in and switch it with the copy. Good for people who don't have an i/o port.
Cons: No game enhancer features... IMHO you should buy a goldfinger if you want this.