There's a ton of reasons...
You have a great plan with a service that isn't AT&T and don't want to give up that plan.
You are locked into a 2 year plan with a service that isn't AT&T and can't get out of it.
You enjoy the functions and capabilities of a windows mobile device but HATE its method of program launching and feel that the iPhone's is simple, aesthetically pleasing, and useful.
Those are just three off the top of my head.
For me personally, its a mix of 1 and 3. I have a GREAT deal with Sprint that would be stupid of me to give up unless the iPhone happened to do some other naughty things I can't mention here
As well, I'm a big Windows Mobile/PPC/WinCE fan and have been for years. I love its versatility. I needed good PIM applications, and word and excel support. I also liked the size of the Touch.
All that said...
Windows Mobile in my mind has always been HORRIBLE for application launching. The best WinMo device I used launching wise was my old Toshiba e310 because of Toshiba's built in launcher, which was very palm like.
The iPhone took Palm's basic launching program and made it actually look great. The gloss, the black with bright colors, the shape...its a very nice interface. And I like it a lot better than going into a start menu, going into programs, going into another folder perhaps or scrolling through a bunch of programs to find what I want to launch.
Why would I try to make my Touch function like another phone? Because I can. Because thanks to Windows Mobile I'm able to get all the things I like about windows mobile AND because of its ability to be customized I can get a lot of the features I like about the iPhone.