The pros of buying a new car with insurance are that most of your motoring expenses are in one payment. Also, you can sometimes get a cheaper insurance deal than if you sourced it separately - depending on your age and circumstances.
The cons are that it is often cheaper to source your car insurance and car finance deal separately. However, it can go either way - so do your homework and check out what insurance and car finance would be separate.
After you've got your figures, compare them to the car finance deals with insurance and go for the best bang for your buck. Another potential downside is that a car finance deal with insurance might require your car has a telematics black box. The insurer will monitor your driving behaviour and could penalise you for careless driving.