Threadless:
+ Lighter weight
+ Stiffer
- Difficult to achieve good aesthetics on bikes with skinny tubing

Threaded:
+ Vertical adjustment is silly easy
- Easier to damage your steerer (i.e. if you overtighten the quill's expander)
- Most quill stems don't have removable faceplates, so changing stems i.e. for reach adjustment tends to be a lot of work