Stem height adjustment restrictions aside (and since most of us set it once and leave it alone, that's maybe not as big a deal as it's sometimes made out to be), the threadless system is arguably the more elegant of the two: simple and easy to adjust for bearing preload without the need for specialty headset tools, less prone to damage from accidental overtightening, etc.

Plus, almost all of my bikes with threaded headsets have eventually exhibited bearing surface wear that makes the bike a little harder to steer. None of my bikes with threadless headsets have that problem. Don't know if the improvement in a consequence of the threadless design per se or if it's because the threadless headsets are all 1 1/8" and the threaded are all 1", but there it is.