Some things I found while looking at a similar problem:
1. SSRs typically drop 1.7-2V across them - so if you're powering a high current load (e.g. immersion heater - 12A) you have to lose 20W of power! Less of a problem with lower current loads.
2. Some SSRs have snubber networks across them; these effectively bypass the actual switch in the SSR, passing a small amount of current even when the SSR itself is off. So an open circuit output can actually be live, and a really low current load could be turned on, at least partially, due to the current passed by the snubber network.
3. SSRs generally need less power on the control (low voltage) side - typically 3-5V at 10mA or so - when compared to a relay.
4. SSRs, even those without snubbers, have a little leakage current when off, unlike a relay. Possibly enough to give you a shock if you touch the output when there's no load (I've not tested it!). (Not that you should be touching potentially live wires without isolating the mains input first anyway, but these things can happen).
5. SSRs switch on the zero crossing of the mains, so less interference - a definite plus point when switching frequently.
I opted for SSRs for the relatively low current circuits, since they would be switched frequently (these
) although for versatility I buffered my processor outputs. Then avoid the power dissipation I used a relay for the high current control, since I would be switching this less frequently (although an immersion heater of course has its own thermostat - an internal contact which switches on and off)