*) You fully paid for a physical product you fully own which contains your often very personal data. You're not in debt paying it monthly off.
*) You can resell the phone (without an ugly branded mark) any time you want.
*) You can toss the SIM card in an other phone, while using your current phone for something else. Useful in emergency situation.
*) When you want to ditch your contract the phone is yours; not partly yours, partly property of telco.
*) Some poeple have ethical issues with certain things sold together. For example, I don't like 'triple play' (tv/radio, phone, internet from 1 provider) because if they want to close you down for whatever reason (valid or not, mistakes on either side do occur) then this severely impacts your communication while previously you could use either one still. You cannot opt to leave one service because you're not happy with it either.

Or hey, just ask some current iPhone 3G users who'd like to update to iPhone 3G S...