<p>Those of you who have used <a href="http://research.microsoft.com/Pex/" rel="noreferrer">Pex</a>, what do you think its advantages and disadvantages are of Pex as a tool?</p>

<p>Also, what do you think are the advantages and disadvantages of "Automated Exploratory Testing" in general, <strong>as a supplement to</strong> TDD/Unit Testing?</p>

I think Pex as an exploratory testing tool is really intriguing. In that regard, I see it as something I'd want to hand off to QA to use.
As a TDD tool, it needs some work, as TDD is a design activity. However, I do like the direction that Peli is heading. There's something to be said for automated assisted design. For example, just because TDD is a design tool, there's no reason I can't have an automated tool point out potential edge cases while I'm designing, right? Build quality in from the start.
Check out this post in which Peli uses Pex in a TDD style workflow.
http://blog.dotnetwiki.org/TDDingABinaryHeapWithPexPart1.aspx