We personally use only mysql_connect. We tried pconnect awhile back but ran into problems. Sorry, but I can't seem remeber what the problems were 🙁 mysql_connect's are rather fast, if mysql is running on localhost use ":/tmp/mysql.sock " (I think) for the host to connect to the local socket for faster connect times.
One thing with pconnect, is that since the connection stays up, if there are any memory leaks in anything, then nothing really gets reset. Also apache threads cannot share a mysql connection (as far as I know), each thread has to have it's own connection to your mysqld.