Generally, pconnect saves your processor time, while connect saves your memory. Choose what is more appropriate for you.
And now the most important thing, I have a server with a quite high load so sometimes, I got this message - "could not connect to mysql server..." - maximum connections limit was reached, but I had a lot of threads with timeout over 30.000 - quite to much... and I was looking for some answer here and on some other resources in interenet, but could find anything.
Well good news for everyone with the same problem, as old proverb says: RTFM š
In mysql manual is written anything, you ever would like to know...
The parameter to adjust the threads timeout is "wait_timeout" - by default set to 28.000.
Now, to set this value you could to it in two ways: one is, to put in your /etc/my.cnf (of wherever your mysql config file is) or via command line with --set-variable wait_timeout=value (--set-variable var=option)