Benefits: PD's talk to each other. If I like you lots, maybe your partner's PD will move them up the list or vice versa.
Risks: PD's could be worried that, if you match in separate cities, that you'd bail after one year. If you're both applying to the same field, then the PD might have an "all or none" attitude (ie interview both or neither).
Overall, I expect it really doesn't matter much either way. You can always tell any PD you want that you are couples matching.
IMHO always better to be open and up front w/ your future PDs about the couples match. That being said
Benefits: In addition to what aPD said, declaring yourselves a couple could make things easier coordinating/scheduling interviews with a given program. Also, some programs are couples friendly. Couples tend to be happier when theyre together, and most PDs seem to like happy residents (go figure).
Risks: That all or none approach I think applies more to smaller programs, perhaps looking for more resident diversity. If both applicants are strong though, dont think it matters much. One other possible risk - if you happen to be a same-gender couple, you could run into some discrimination along the way. All the more reason to be open w/ the program. You wouldnt want to end up there for 3+ years.