Why? Here's a list of reasons, though I admit it's not what I'd choose for a high visibility, impress-the-neighbors garden. Still, it's my favorite for these reasons:
#1 - It's durable and can be moved around easily when you need it somewhere else. I usually get a couple years out of a bale, spreading it in different places as it breaks into smaller pieces.
#2 - You can layer it thickly without smothering anything. Want to kill grass so you can dig up the area? Put six to ten inches of straw on it in fall and by spring the grass will have decayed and all you need to do is fork up the ground. The shade it casts will kill the grass, and many other weeds as well.
#3 - It maintains a humid environment beneath it. Your plants will use less water if the surface of the ground stays moist and there are a few inches of humid air above it. Bark, for instance, seems to create layers of dry and moist without the humid zone.
#4 - Like other mulches, it allows water to sink into the ground easily without creating a layer of crust on the soil, an effect of drops of water smashing particles of dirt together
#5 - It's fairly inexpensive and easy to transport. I can get a bale in the backseat of my car, though it needs brushing out afterwards. No truck needed, a plus.