I have one of the slim portable blu-ray drives currently available at Amazon, the Samsung SE-506AB, it's bus-powered which typically means you'd need two USB ports relatively close to each other to draw enough power for it. Since I use it mainly with a Mac Mini that's not a problem but it might not work well for someone with a laptop where its USB ports are on opposite sides. You may want to check if your particular Air provides enough juice from a single USB port to power whatever external you're considering. I also have an older full-size LG blu-ray burner in a 5.25" enclosure and the two of them handle all my blu-ray ripping and other optical drive needs.
Note that I don't ever "play" blu-ray discs, I rip them once with MakeMKV, put the disc back on the shelf, keep that full-size file for use with XBMC in my HT and then perhaps transcode the resulting file into something smaller, more Apple TV and iOS device compatible. I've never used "MacGo" nor care to, though some here do use it and have said it has gotten better as it's been updated. If I'm traveling and have my MBP with me the transcode is what I'm bringing along to watch, I can never envision a situation where I'd schlep along an external blu-ray drive to connect to my MBP, and after ensuring I have an internet connection in order for MacGo to work, play a commercial blu-ray disc back.
If the slim drive you're considering has a power source and does not rely solely on bus power, that's an advantage. It'll all come down to how you plan to use the drive...if your Macbook Air is your only computer, how do you see yourself using it and where do blu-ray discs fit in for you? Do you plan to watch the movies on the Air or do you also have an HDTV?