What's the difference in threaded and threadless headset and stem
There's a page on here explaining the basics, Terminology index - a list of bike part names and cycling concepts

There are some advantages for maintenance, it is simpler and faster to adjust the bearing preload with the central bolt through the top cap, rather than using the lockrings on a threaded headset. Threadless also requires only hex keys to adjust, as opposed to specific lockring spanners. 

The overall system of threadless headset and clamp on stem is probably lighter and stiffer, but I'm guessing... if true it's a big reason! i.e. lighter weight and better steering.

The larger stem with threadless headset allows material for the modern handlebar clamp with four bolts, enabling you to remove the whole handlebar assembly easily. It is able to achieve this without significant weight penalty. With a lot of quill stem designs, the clamp forces you to remove brake levers etc from the bar to remove the bar from the stem by sliding it through. There are two bolt clamp designs for quill stems but arguably 4 bolt clamps are a superior design. 

With threaded, the quill stems have a tendency to get rusted in place, worsened by aluminium vs steel combinations, so rust or galvanic corrosion can prevent removal of the stem, thus adjustment or bearing servicing becomes impossible if a threaded headset is neglected for too long. This is less likely to be a problem with a threadless headset.

Also for threaded steerers, the steerer must be cut to fit the frame head tube and the headset stack height quite accurately. Replacement headsets must match this stack height quite closely to be compatible. Whilst this is an unusual occurrence, more significantly the fork/steerer tube cannot be re-used in a taller head tube on a different bike. Both these issues are more easily managed for a threadless system. 

Hope that helps, no doubt there's more reasons than this!