I've never used a milk crate; have always used panniers or a backpack, though personally I hate having a backpack on when I'm riding. I only carry a very small Camelbak pack on my back, but even that creates a large sweat spot underneath in warm weather. Anyways, a few advantages for me respecting panniers:

- potentially waterproof
- everything inside is secure when going over bumps/off curbs
- quick & easy on/off and built-in carrying strap (for well-designed panniers)

I do keep a Swiss Army canvas briefcase at work in case I am taking a taxi to a meeting and need to bring my laptop and other stuff with me where the panniers would not do.