Apart from the cookies answer from Andrew Moore the only other reason would be personal preference.
Whatever you choose make sure that the other is redirected to it this is to ensure you have only one Page Rank with Google.
With Google your Page Rank is treated as separate for mysite.com and www.mysite.com.
So if some people link to your site as mysite.com and others as www.mysite.com this will give you two separate page rank scores and hence a lower position in the search results.
