Although dissertations are due long before exams, they can take up more of your time than an exam module would do over the course of a year. Being disciplined is crucial to make sure you spend enough time both on your dissertation and other modules.
Coursework vs. exams:
If you know you are better at exams than coursework, then doing a dissertation may lower your overall mark. Students generally want to do as well as possible in their degree (a university education does have a high opportunity cost, after all). So if you know that you are better suited to exams than coursework, you may want to consider this.
Although the precise nature of your dissertation can vary depending on if you are more of an essay-writer, a mathematician or an econometrician it’s a fair bet that you’ll need to read a fair few journal articles just to get a feel of the literature in your chosen area. This can be interesting, but is often a bit of a slog. Persevering through relevant papers is a downside of a dissertation – how much of a downside depends on you.
Doing, not thinking:
Doing a dissertation requires you to do a lot of ‘administration’: that is work that makes you act as your own Research Assistant. This especially applies if your dissertation contains a lot of empirical work, where you will need to find and clean datasets, and often merge two or more datasets. This can be time-consuming and frustrating.
Although many people take pride in their completed dissertation, even dedicated academics find it tiring to concentrate on a single topic for months on end. This is less true at undergraduate level, as you’ll have exams as well, but there may come a point where you get frustrated with your dissertation.