As others have said, for me it's the long shelf life and a lot more power in a smaller package. Someone else mentioned better performance in the cold, but I seem to notice they hold their power better in the hot car during the summer too.

My complaint used to be their cost. A pair of CR123's will still cost $9 in your local store and that's outrageous. A box of 12 Surefire lithiums is around $20 over the internet, but even better is the prices Battery Station has:
www.batterystation.com

Battery station has discounts if you are a member of some other forums that will get the price down to $1 per CR123. In runtime tests their batteries are the equal of Duracell, Energizer, and Surefire batteries. I've been using them for a while and have no complaints. Also, Battery Station now ZTS tests every lithium battery before they are shipped. (Battery Station also still has a few of the HDS Basic 42XR's on sale. It's a super deal on a great flashlight. Any buyers remorse will disappear the first time you use it. Equal in durability and warranty with Surefire.)

All of these factors add up to be a no brainer with my EDC light, and a couple of others in my regular use.