Well, I've been both ways, just having (successfully

) disassembled and re-assembled a threadless headset onto new forks/steerer. In a previous life I've taken apart threaded headsets on numerous occasions.
I would say, the Aheadset is a big problem if you want to raise the bars and have already used up your options, but the same was true with an old quill set if you'd already raised to to the maximum 'safe' height (usually there was some sort of scoreline on the stem to warn you). Buy a longer stem? With Aheadsets you have to buy a new steerer, which generally means new forks.
The biggest problem I used to have with threaded sets was that the ball bearings were often not caged, so as you lowered the steerer they fell to the floor in a veritable hailstorm. You had to carefully collect them all, clean carefully, and keep count! Then, when putting it all together, you had to smother everything with grease, plant the balls in and hope they stayed put! The sealed bearings you get with threadless are certainly a lot easier.
Also getting stuck due to corrosion can be a big problem with quill sets - there's been a thread about this on this forum recently! The usual woes of alloy touching steel I suppose! At least it's less likely with Aheadsets.
I also think that Aheadsets are ugly. Americans, I believe, call an old quill stem a 'gooseneck' which I suppose suggests the elegance and smooth contours of the thing. Indeed you can't beat an old Cinelli stem for beauty!