Pros/cons: linear vs. circular DNA
This question has been asked before: Is there an advantage to linear chromosomes?

Firstly, I should state that the generalisation that ALL prokaryotes have circular genomes is incorrect. A growing number of prokaryotes have been discovered which have linear chromosomes, such as Borrelia burgdorferi ,which causes Lyme disease, members of the Streptomyces family and Agrobacterium tumafaciens, which has both a circular and a linear chromosome.

Anyway, on to the question being asked: 

Generally, my feeling is that large circular chromosomes would have much greater supercoiling and related torsional problems, making it difficult to unwind them for transcription, replication or repair. This limitation on physical size limits the amount of genetic information that can be carried in a single chromosome, thereby limiting complexity of the organism.

You could increase the number of circular chromosomes to compensate for their lack of size, but again, you end up having a physical limitation (size of the nucleus or size of the cell for anuclear organisms) on how many chromosomes you can pack into the cell. 

Linear chromosomes are just a more efficient shape when it comes to larger sizes.

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Here are a few good references to dig further, if you're interested:


A new beginning with new ends: linearisation of circular chromosomes during bacterial evolution. Pubmed: http://www.ncbi.nlm.nih.gov/pubmed/10802162
Why do we have linear chromosomes? A matter of Adam and Eve. Pubmed: http://www.ncbi.nlm.nih.gov/pubmed/10422538 -- Proposes that meiosis was the driver for linear chromosomes.