The main advantage would be versatility, you can use a Bluetooth gps receiver with a Bluetooth pda as well as a compatible bluetooth mobile phone whereas with a cf gps receiver you are limited to only a compatible pda as mobile phones usually don't have a cf slot.

Another advantage is with regards to battery life, some bluetooth gps receivers have exceptional battery life lasting up to 26 hours, some mobile phones also have a long life, although a pda won't last anywhere near that, when using a cf gps receiver the pda battery is usually depleted faster as the it has to also power the cf receiver since the cf receiver can't work on its own

The third consideration is convenience, one can find some new gps receivers that are extremely small, the holux gpslim 236 comes to mind, because of their size and sensitivity you can stick them in your pocket and still get a very good signal so you don't have anything sticking out of the pda as is the case with a cf gps receiver.

Another thing to consider is that a lot of newer pdas seem to be loosing the compact flash interface, a good example is the fujitsu siemens loox 720, it has being rumoured that the loox 720 replacement won't be including a cf interface. My conclusion would be it seems that manufacturers don't consider the cf interface that important to include in newer pdas, kind of like being phased out so it might not be a good idea to invest in cf devices

My final argument would be that when it comes to using a gps receiver for driving, it is easier to position a bluetooth gps receiver in a convenient position where it can receive a better signal than with a cf gps receiver because since the cf gps receiver is fixed to the pda, you are limited by how much you can move the pda around and still have a good view of the pda screen.

Based on all these facts I would consider a bluetooth gps receiver a better choice to a cf gps receiver.