I can't speak for Vampirism. As for being a Werewolf, unless I am mistaken the only disadvantages is that you loose resting bonuses. Resting bonuses make your skills level 10% faster (or 15% if it's in a bed you own, i.e. your house). Like 3v3r said, once you hit the high levels, transforming in to a Werewolf actually makes you weaker.
BUT
As a Werewolf, you can run faster than any horse I have a come across. Sprinting as a Werewolf is insane, and when your stamina runs out, simply stop running, wait three seconds, and then haul ass again. The time you save travelling on foot as a Werewolf outweighs the the time you save leveling up with resting bonuses IMO. And it's curable (not to mention freaking awesome). At the moment, I use my beast form power as a replacement for a horse. You don't have to buy it, and you don't have to worry about it dying.
I should also add that my only experience with Shadowmere was in Oblivion. It might be the better alternative.