The cons to buying a real tree every year are quite obvious - you are cutting down a tree. However, Christmas tree farms usually always replant trees once the season is over. There is also "treecycling" where used Christmas trees are turned into mulch and used in gardens, playgrounds, etc. This greatly lessens the environmental impact on getting a real tree.
On the other hand, an artificial tree is often made with metals and PVC, and the older ones may contain lead. It is said that an artificial tree must be used for over 50 years before it becomes environmental advantageous. Artificial trees also cost upwards of hundreds of dollars. And once they are thrown away, they sit in a landfill forever.
The experts say that artificial trees are, in fact, worse for then environment than cutting down a real tree every year. They may not need water, but they will never have that Christmas smell either.