Kable - I have carbonated in the first keg but that is keeping it cold (to make the CO2 for soluble and the reason for doing the next transfer under counter pressure (i.e. into a pressurized keg.) If you prefer to keep the beer warm while dry hopping it might be tough to simultaneously carbonate. I do think the advantage of transferring into a CO2 purged vessel STILL makes this a good choice.
Gary - in terms of the concern over the secondary I see where you're coming from. I tell people at the shop my opinion on secondary fermentation quite a bit:....
It will, without a doubt in my mind, make virtually every beer better. For some beers, it's close to a requirement (high OG beers like barley wines and imperial insert-style-here type beers.) For most though, we're talking about fairly subtle improvements at the risk of major flaws (contamination and oxidation.) SOooooooo, if you can do it gently and sanitarilly, you should. If you're not sure (or not feeling like doing it - I fall into that "lazy" category too sometimes) then the beer may be better off with an extended primary.
The cool thing about the technique I was describing is that many of us keg our finished beers anyway. So, its really of no extra concern sanitation-wise and all but eliminates the risk of oxidation until the beer is completely drank.
Oh yeah...pellets... My brew kettle uses a little bazooka screen covered pick up tube that clogs like crazy with pellets and no steeping bags. So, generally I use whole leaf hops exclusively (unless there's a variety I can only get as pellets.) For dry hopping though, I feel like pellet hops are more processed than whole leafs and as a result will inevitably fall short on delicate characteristics such as aromatics. So, though they can be harder to cram into a carboy neck and might soak up a more measurable amount of your precious beer, I think they're the better choice for dry hopping. That being said, almost every commercial brewery uses pellets (even for dry hopping.) I think it's more for logistical and cost concerns though. I'd be interested to hear what pro brewers thought of strictly the quality of pellets vs whole leaf for dry hopping...
Jesse