I have one of the biggest skid loaders made... a Mustang 2105, 110 hp. I bought it with wheels on it, shortly after that I bought a set of Loegering VTS tracks for it, after having rented a Takeuchi CTL (really tough well built reliable Japanese built machine, its why the rental places and construction sites like them... very rigid and rough riding on bumpy areas.... 0 suspension). The difference convinced me that I wanted a tracked machine for almost all of the work that I need to do (I don't need to be cleaning barns or operating much on concrete). I also bought a brand new set of tires for it, because everybody told me that I wouldn't like the tracks on snow or ice. That was almost 10 years ago... and I've never put the tires back on it. LOVE the tracks and wouldn't ever want to be without them. (And that includes factoring in the increased operating cost... I just couldn't DO what I want to do anywhere as well, or efficiently, or effectively, without them... alot of fence clearing, dirt moving and shaping, rock picking and moving, tree grubbing........). This loader weighs about 12,000# stock, the tracks add another 1300# per side to that, and lengthen the wheelbase significantly (stability), with one of the primary advantages of that being that the front idler is moved about 8" further forward (ahead of the "normal" axle of the wheel)... and THAT means you have more leverage on the load. Makes a HUGE difference.
Absolutely no comparison between them... and I'm talking on the same machine. Easily can double the capabilities of the very same machine. With the tracks on, the machine is just rock solid stable, and leveling out is SO much easier and better. Traction for cutting dirt is WAY more, I can be filling the bucket doing cutting/grade work and have dirt rolling over the back of the 1 yard bucket and rolling into the cab, literally (not that THAT'S a good idea
... just illustrates the additional traction and POWER that they allow you to apply to the work... which of course translates into how much real work you can effectively accomplish per hour...). When grubbing trees, I've put the bucket up against a tree that's up to like 12" trunk diameter (up fairly high), start pushing and rocking to allow the roots to tear off, and then just push it over, root ball and all. AMAZING what those tracks will allow you to do that you couldn't begin to do with tires.
There IS one important place though that you will prefer the tires... and that's if you're doing alot of loading on concrete. Tires will be able to "skid" and spin relatively easily with little power requirement, especially on wet, manure covered concrete. THIS IS A MAJOR ADVANTAGE over the tracks IN THAT SITUATION, and it CAN speed up your operations significantly over having to "turn wide" (as has been suggested to reduce power requirement, wear and risk of "throwing a track" with the track machine). Turning with the tracks DOES require significantly more power (and of course, that also means more stress and wear)... the tighter you require the machine to turn, the harder it is on the tracks and the whole machine. You learn to deal with this by turning wide, or backing up and relieving the stress on the tracks, which also helps to avoid the "throwing tracks" that others mentioned. This will also relieve the stress on the cables in the tracks significantly, to help avoid breaking them. These are things you don't consider with a true "skid steer".... you just spin it on the tires.
Tracks absolutely WILL cost you more to operate, even with proper operators. I've unfortunately replaced the tracks TWICE on mine in about 1500 hours (replaced the originals I bought with the used track set within about 300 hours... and now I've had to replace them again because of the cables breaking within the tracks... warranty is only good for 1 year after purchase...) Currently they cost about $1800 and up per track, depending on who you get them from, and I'm sure there are differences in them... but price may not be the best metric for determining quality. I'm sure that some of the work that I've done picking rocks and clearing rocky fencelines (football to boulder sized rocks accumulated over the last century) has been much of the cable breaking problem (running over boulders you didn't know were there on one side of the track). This "could be" attributed to operator error, but if that's the work that you have to do, you're going to do the work, regardless of the conditions, and then "pay the price" that it cost, to get it accomplished... it's all part of the jobs you need to get done. I've also had to replace a few rollers (not cheap) on this used set of tracks that I bought... but that has been minimal really... mostly replaced a couple of end/corner idlers shortly after receiving the used set (bearings out... Loegering did really build their rollers right though... oil filled and sealed, very heavily built, made the same way as the idlers on a big Caterpillar dozer), and they've been fine ever since.
They also built the VTS system so that it DOESN'T need to be cleaned out... it pretty well sheds what it needs to on its own... something that the Cat ASV type of track systems don't do well at all. Neighbor has one of those, and he has to clean it out every time he uses it in winter, or it's not going to move next time.......... I've NEVER cleaned out any mud or snow or ice from mine, and I've NEVER had a track froze up on it (Minnesota). That doesn't mean though that the track system isn't more "stiff" than a wheeled unit would be though in the cold... it definitely IS... and it will take more power to operate in the cold than tires will. They will take more fuel per hour too because of this... but even with all of those "negatives", they more than make up for it in productivity. In the snow, you can go right over the snow banks like a snowmobile... I've never had mine stuck, period. I would never want to be without the tracks on ANY skid loader, but I WOULD prefer to be able to use a wheeled unit for loading manure on pavement. Tracks MAY tear up a field more on sod, like for loading hay bales, but that depends more on HOW YOU TURN... if you want to spin like you mostly do with a skid steer... but if you learn to turn like you should with a track machine, they'll tear it up less actually.