In the case where I am working with an existing C library, I prefer PInvoke. PInvoke, while a bit tedious and troublesome at times, is a fairly well understood technology that has an ever growing set of tools and internet documentation available. Generally speaking, whatever problem you run into, there is already a sample available on the web, or a quick check on stack overflow will provide a solution.
C++/CLI is a great technology, but IMHO its documentation is limited as compared to PInvoke for interop specific scenarios. It also doesn’t have the tooling infrastructure for interop solutions that PInvoke has. Adding a C++/CLI assembly for a scenario that can be solved with PInvoke just seems too costly to me.
On the other hand, if I’m working with a large C++ library, I consider C++/CLI a bit more. PInvoke does not work with C++, and I must end up adding some kind of intermediate layer. Either a small C layer to wrap all of the C++ function calls or a C++/CLI library to bridge the gap. C++/CLI feels a bit more natural to me in this case.