It's hard to beat the serviceability of being able to unbolt a bolt-on neck and swap it out, refinish it, shim it, or work on the guitar body (say refinish it, route for a new pickup, or sculpt down the heel).
A neck-thru is pretty easy to build and from a technical standpoint, it sure make sense to have one really long piece of wood that has the strings and pickups bolted to and makes up the neck of the guitar. The downside is that the neck wood dominates the guitar's tone. If it's a maple neck-thru, then it will be bright and compressed (I learned this the hard way).
A set neck has that smooth sustaining tone, but I'm pretty rough on guitars and I always feel nervous with set necks, like I'm going to bend the neck too much and break the joint.
I guess I've seen too many photos of "short tennon" Gibsons where the neck doesn't have a lot of surface area to hold it in place.
My favorite is "set thru", where the neck is set in a channel that is routed all the way to the bridge. Then you glue the guitar's top on top of the body and it locks the neck in place. Good luck ever replacing the neck, but the tone is killer! The beauty is that the neck only extends halfway down the body, so if you have a mahogany body and a maple neck, the maple neck won't dominate your tone like it would with a neck-thru.
