Lots of reasons, mainly, I like only having to have one program for everything I do. For example, I don't want to use internet explorer, I'd rather use firefox for the security and user interface. I cannot free up memory by deleting Internet Explorer, because it's inbedded in the OS. I could delete Safari if I wanted to (though I don't want to) and use only Firefox on my Mac if I wanted. It's the same with Windows Media Player, it doesn't (or at least didn't) play a lot of file extensions, and I also couldn't delete it when I found a good universal player. With Mac, I can just get the Perian plugin for Quicktime, and I don't need anything else.
We won't even get into the fact that I could virus/spyware/adware scan every 5 minutes I'm on the internet, and it would always find something. Because programs don't integrate with the OS like they do on Windows, there are no viruses. No viruses without the slowdown that happens during scanning. It also means that when you close a program, it closes completely, and you don't have residual prossesses still running that slow down your computer after you close the application. Plus, they don't have to give you 80 trillion security warnings every time you try to open something up, like Vista does. Makes for a much faster experience.
Lastly, if I wanted to install Windows on a Mac, I could. You can have both OSX and Windows, and switch by rebooting. That's what most Mac users who are super hardcore gamers do. I don't play PC games except for older stuff on emulators so it's not an issue for me. I don't have to corrupt my baby with Windows . It's also nice, because it sync's up my contacts and calandar and everything with my iphone, since the programs for Mac and iPhone are compatible.