I work with exome sequencing data and I do use VarScan for CNV analysis. It works pretty well. As you commented, this is a good stragey for larger indels, perhaps a kilobase or larger... Smaller/weaker calls could get smoothed out by DNAcopy.
I need a caller that works between the ranges of a point-mutation caller and a CNV caller. I'm going to give Pindel a try.
Thanks a lot for your reply.
Relevant post: What Approach Would You Recommend For Large Indel Detection With Solid Data