Threadless is stiffer, if that's important to you, then there you go. Threaded looks more slim, if that's your're thing, then there you go. I personally think threaded looks better. I also agree that on a more modern frame with aero tubing, threadless looks better, but on a classic steel frame, then the threaded looks better.

I'm not sure if there's a weight advantage to threaded v. threadless, but i can definitely feel a different in stiffness and responsiveness between the two.