While at my desk, is it better to sit on one of those pilates/gym balls than to sit in an office chair?

I've noticed a couple co-workers use those big colorful gym-balls instead of chairs at their desks. They claim it is better ergonomically, since they have to try to ballance and so they are constantly shifting their weight and not in the same position for too long. Are there other advantages to using them? Anyone out there have a strong opinion either way? And where do I buy one?