The important question here is how large these files would be. Please see this study by Microsoft:
To BLOB or Not To BLOB: Large Object Storage in a Database or a Filesystem?[
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If the files in question are not larger than roughly 250kB then SQL Server wins performance-wise. If they're 1MB or larger, then the Filesystem wins performance-wise. If you'll be storing them on the Filesystem, you should do it via the SQL-Server feature of Filestreams - that way, the operations can be part of transactions:
FILESTREAM Overview[
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Getting Started with FILESTREAM Storage[
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Edit: Between 250kB and 1MB there's no clear "winner".
And you may also take database-backup into consideration. If you store the files on the filesystem the database backup size would probably be a lot smaller.
Edit2: CodeProject articles on using Filestreams:
site:codeproject.com filestream - Google Search[
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