I attended college in a different state and stayed in a dorm my first year. I highly recommend staying on-campus your first year. Some of my closest, college friends are the people I met staying in a dorm. You are able to bond socially because you basically live with each other for a year. It was a great source of moral support because there were times we all became home sick. Also, it enabled me to be really active on campus because I did not have to worry about commuting back and forth to campus to participate in meetings and activities. My second year I lived with a relative because I had a car but I still really missed the connection and convenience of living on-campus. For my junior and senior year, I moved within walking distance of campus even though I had a car because of the convenience.
The only con to living on campus is the expense, however there's additional costs you may incur living off campus (utilities, gas, etc) that may balance things out.
If cost is a concern, I high recommend staying on-campus at least your first year so you can be fully immersed into college life.