There is something so deliciously meta about this. FMRI scans might also be a very interesting place to play with CNNs.
Generally, EEG's benefit is that it's cheaper (either in terms of data collection or for showing your method has the potential to be commoditized).
- [1] http://www.jneurosci.org/content/35/27/10005 - [2] http://www.jneurosci.org/content/35/48/15769