First thing I'd do if I were in your shoes is find out which April revision the Pegasos has. The Rev1 Articia S in the Pegasos has a problem, which Genesi solved with a little bit of hardware called an "April chip" (I don't know how much you follow the NG Amigas, so I'm assuming you know nothing). The original April was found not to fix all the problems, so another one was made, called April 2. I'm sure others (greenboy, you around?) will give you more info, but this is what I'd do:
* No April at all: definite possibility of data loss, consider not buying, unless you can convince Genesi to retrofit an April chip into it. They're big on customer care, so I'd say you've got at least a 50-50 chance of them doing it.
* April 1: problems almost fixed, many say they haven't had any issues with it, a few report some problems, but they seem rare. I'd say go for it.
* April 2: presumably fixes all problems, and in any case there is no April 3 :-) Go for it.
In any case, no NG amiga has chipset emulation, so you won't be able to run most games or demos natively, ie you'll have to run them under UAE. You can do that on any newish PC, so if all you want to do is run Cannon Fodder and Syndicate, save your money.
[edit: I forgot to mention AmigaOS4 on the Pegasos... Genesi and Hyperion might yet agree on a port to the Pegasos 2, especially if they have already sold 1500 units. Odds of porting to a computer that is no longer being manufactured, and which only 600 were sold, are pretty much zero I'm afraid. Hyperion would make more money porting it to run on "candy" iMacs...]