Threaded is the worst! Mechanically speaking a threaded setup is idiotic! Just think how it attaches the stem to the steertube. THe threadless solution is far supirior.

Also if you ride steel remember that your threaded headset/stem setup guides any water (rain/sweat) that falls on your stem right down into the steertube where is will rust away. Another problem that a threadless setup gracefully avoids. For additional significant benefits see above.