Well Nick is looking at getting a new phone, so I guess you can assume this post is partly due to that, however I've been meaning to do something like this for a while - and one about Tablet PC.
I think it's time to outline my reasoning on the killer reasons why I'll never buy a non-Windows phone again. Just look what Windows Mobile devices can do:
1) Connectivity. I, like many people use Outlook for mail, contacts and calendar stuff. Windows powered Smartphones grab all of that and chuck it on the phone. For example when I'm at work I enter when I'm working into my calendar - all I do is drop my phone into the dock when I get home and boom, it all gets copied across automatically without even pressing any buttons. Same for e-mail - it'll sync over all e-mail, say I go off to work, I can read the e-mail on the way to work, and when I re-dock the phone back with the computer it'll mark all the e-mails I've read on the phone as read in Outlook. Now that's just simple stuff but it's so cool and useful, it just happens in the background automatically which is the coolest thing with it.
2) It's Windows Mobile! Thousands of application from freeware and up for it, don't like a built in application, go download another one. Loads of freeware and commercial games for it too, download the DOOM and Quake binaries for it, have a go at Midtown Madness or Age of Empires and Sim City, awesome stuff. You can develop in .NET for it, in fact one of my .NET applications runs on both the phone and on the full Windows client with the same executable - now that's cool.
3) Media! I don't need a portable music or video player, I've got my phone! Windows Media Player can automatically sync to the device, re-encoding files to a lower format if you choose, and even downsizes videos. Of course you can just copy them across manually too, and use something like Windows Media Encoder to squeeze every last drop of quality out of them. At the moment I've got 7 albums, the second season of the Simpsons, the first season of Red Dwarf and a couple of new episodes of Battlestar Galactica on mine and very watchable quality, best of all it's all unifed you've got the same playlists on your PC and your phone, the same album art, the same star-ratings etc. It even plays DRMed stuff too from Napster or MSN etc.
4) Cleartype fonts. No more tacky looking edges to pixels, all the sub-pixels being used to really create nice reading environments, this is killer on low resolution devices like on phones, but if you take a VGA device and put Cleartype on, you've got a far higher resolution then a book, reading lots of text is very easy on the eyes.
5) Internet Explorer & MSN Messenger. Internet Explorer is far better then a lot of other mobile web browsers, it can handle full HTML pages with images the lot the same as its bigger brother. MSN Messenger is cool too, you effectively get the entire v5 client. Of course there's nothing stopping you from downloading your own web browser or messaging client either and using those.
There's the top 5 killer features in my opinion. Sure some devices may do one or two of the above, like have an MP3 player, but its not a unified experience, you've got one playlist on your phone, and one on your computer. it's a mess, Windows Mobile wraps it all up nicely - and isn't locked down so you can't develop your own applications like most other phones. That's why Windows Mobile rules, and why I'd never buy a phone without it.