Should I Keep Cicero Alive?

Since you can pickpocket him and receive higher grade gear at the Dawnstar Sanctuary, it is really not lucrative to kill him. If you have completed the quest line for the Dark Brotherhood, and Cicerio is still alive at that point, he will indeed become a Follower.

Does killing Cicero make a difference?

Killing Cicero grants you access to his unique outfit and benefits, but loses on a pretty unique follower. He's the ideal stealth follower, and cares not for crimes. He can be quite amusing to those who liked the Annoying Fan from Oblivion.

Is it better to kill or spare Cicero?

While killing him may seem like the logical thing to do in Skyrim based on the crimes he has committed, sparing Cicero may actually be the more moral option, according to Dark Brotherhood law.