Oh, I used to own a whole roomful of snakes before I had to move. I fed most of them frozen - as it's what their breeders had started them on - but I had one Ball Python (who are notoriously picky anyways) who wouldn't eat anything except live feed.
Most of the argument against live feed I've seen in snake communities is usually the fact that live feed can fight back and seriously injure your reptile. I've seen some pretty horrible pictures before of owners trying to feed their snake live mice only to find their snake's scales all torn up. Sometimes captive bred specimens also don't know how to hunt properly - I've had a Rosy Boa before who would strike his food but never coil and constrict around it; I imagine if he were to do that with a live meal he'd get some pretty bad scratches and bites.
I think some people also argue with the potential for disease in live rodents - whereas frozen/thawed would usually eliminate that. It's a valid point, but I think as long as you're getting your feeder mice/rats from a reputable breeder or place, the chances of it would be pretty low.
The only other problem I've encountered with live feed though is mostly because I owned a Ball Python. BPs are notorious for suddenly going off feed for months on end with no reason - it's perfectly natural for them, but usually freaks new owners out because they think something's wrong. I've had a few instances where I brought home live feed only to find that my BP just wasn't up for eating, and ended up having to temporarily house from feeder rats until my BP was ready to eat. It was a hassle and made my room stink a lot.