I'm starting a new project. I familiar with TortoiseSVN, and all its downsides. Shall I start using Mercurial instead? What are the pros and cons using Mercurial over Subversion?
A comparison matrix can be found here: http://versioncontrolblog.com/comparison/Bazaar/CVS/Git/Mercurial/Subversion/index.html
and there is another comparison here:
http://animeshdas.wordpress.com/2009/11/19/head-to-head-comparison-between-subversion-git-and-mercurial/ ...Although it's clear that this author has a soft spot for Mercurial.
I enjoyed reading Hg Init: a Mercurial tutorial. It has a chapter called Subversion Re-education which might be worth a read in your situation.
Also there is a Mercurial client called TortoiseHg which is similar to TortoiseSVN. You might want to check out Bitbucket also. I have used it in a couple of school projects and it's pretty cheap and even with the free plan you get one private repository.
The content of Mercurial: The Definitive Guide is available online, for free.
A big benefit of Mercurial (and distributed systems generally) is that you do not need to be online to do your work. Your repositories are local, and your working copies are complete copies, with all the history, so no need for going back and forth like Subversion does.
Branching and merging tends to be easier, as well as receiving changes that others have made to their checkouts.