I generally store files on the file-system, since that's what its there for, though there are exceptions. For files, the file-system is the most flexible and performant solution (usually).

There are a few problems with storing files on a database - files are generally much larger than your average row - result-sets containing many large files will consume a lot of memory. Also, if you use a storage engine that employs table-locks for writes (ISAM for example), your files table might be locked often depending on the size / rate of files you are s...