threadless won't come loose (stem clamps around outside of steer tube, doesn't expand against the inside), is a little lighter, much less adjustable in terms of height, requires only an allen wrench, usually requires less maintenance, won't get stuck, arguably looks better (or worse).

threaded is simpler, more adjustable (loosen top bolt, move stem, tighten bolt), requires more care (grease, tightness checks), can come loose, can bottom out in the the head tube, requires a 32 or 36 mm flat headset wrench, weighs a little more, arguably looks better (or worse).

that's about as unbiased as you can get. i've owned road bikes with both designs. threaded gave me a little more trouble - my headset kept coming loose even after proper tightening and as a result the whole fork would shunt forward and rattle when i came to a stop. eventually, even after repeated trips to the shop, they determined that the threads had been stripped - but i got a new headset under warranty. however the adjustability was definitely a very nice thing.