My 2c...
While PSMs solve/improve upon a certain subset of problems asociated with using regular ShadowMaps, they still have tons of issues of their own, some which are difficult or nigh impossible to solve reliably.
From implementation standpoint, PSMs have proven to be more of a source of frustration for most people that tried them, then something that would actually yield good results, which spawned a cute saying "Friends don't let friends implement PSM"
.
And, while variations on the PSM theme, like TSM improve some issues, none of these linear projections offer a complete solution to the problem.
On current hw, robust solutions all involve multiple buffers per light, additional scene distribution/management etc. That said, I do believe now (I didn't use to) that they offer more flexibility for use in any type of scenarios then competing shadow solutions (volumes, to be specific). Also, in more advanced uses, like implementing soft shadows, they seem to be decisively more efficient then volumes could ever be.
Anyway, if you're interested in the topic of shadowmaps, I highly recommend you browse the gdalgorithms archives.
http://sourceforge.net/mailarchive/forum.php?forum=gdalgorithms-list
There have been several good discusions on the topic just recently, I recommend you check "General-purpose shadowbuffer implementation" and "Filtering shadow map edges" in particular. (the second thread discusses the advantages of varying shadow solutions in different conditions quite a bit).