Hi Tom,
There's not really any difference in terms of risk between CFDs and SBs as far as I'm aware - they're both leveraged products with the leverage dependant upon the market you're trading.
SB's tend to offer less favourable entries and exits as they usually operate slightly outside the spread so, for example, if your chosen market has a spread of 134/136 an SB buy might get you an entry at, say, 136.8 whereas with CFDs you could use DMA (Direct Market Access) to allow you to buy at the 134p mark in the same market/spread (or 136p without DMA). The same applies when you close - CFDs offer more favourable prices.
It might also be the case (others will have to confirm) that you may have much more restricted trading in SBs - can markets be closed on open positions? I'm not sure.
The main difference for most is the tax regime but I'm sure you know about that.
I remember this topic being discussed either on here or III's CV before and remo (IIRC) said he prefers CFDs but I can't remember the reasons he gave. I, too, always use CFD but I don't have the same tax considerations UK residents have.
A lot will depend on your position sizes, targets and the market you're trading as to which is best. Clearly, if you're looking to trade a share for a big move then the spread is less of a concern than the tax on any profits; if you're looking to scalp 10/20 pips on the FX market then spread is more of an issue than tax.
The key issue for me is the leverage factor for people who are new to these and are just used to using 100% cash to trade shares. Margin trading is a completely different world and I would certainly recommend playing about with a CFD or SB demo account before putting real money at risk.
Hope that helps.
ATB.