Threadless forks were designed to make it easier for bicycle manufacturers to mass-produce one fork for many different sized bikes. There is no benefit to the rider between the two.

[EDIT]: My previous statement isn't entirely true. Better threadless headsets use cartridge bearings, and I'm not aware of a cartridge bearing replacement for a threaded headset. Tradeoffs abound here, as cartridge bearings are typically replaced, while loose ball bearings or bearings in retainers can be serviced and reused several times. However, cartridge bearings usually go longer without needing service.