Less monotonous building and painting
This is particularly important when compared to the spam list. With a spam list, you would find yourself building vast ranks of identical troopers and vehicles, and this can get really boring, and might drive you to madness if you're not too careful (just kidding, but you never know). A themed list might involves some spamming, but it also opens the doors to more diverse and unique units. For example, I run a unit of chosen full of power weapons in my army list. It may not be particularly competitive, but it sure looks good as an honour guard for my leader.
It allows for cool conversions
Themed lists open up the mind, and can encourage you to come up with new ways of representing units. Some people might just use things out of the box, but this is not the way of the themed man. I could have easily used a box of 'regular' Chaos Terminators in my army, but this was not to be. I chose the Grey Knight versions as a basis, for their more ornate and stylised war gear and armour. I felt this better suited the Thousand Sons aesthetic, as opposed to the brutal spikeyness of Chaos Terminators. Also, it allows you to come up with entirely new idea for units. Below are a few pictures of some Chaos Androids, made from the current Necron Immortals. I wanted to include some 'artificial' support, and these models make great chaos robots, with additions and a dark Techmarine to lead them. Such ideasa may not be of concern to your average WAAC man.
It makes victory's better, as well as defeats