Since your question was general, I'll take a stab at it. There are some lights that REQUIRE an unprotected cell to function properly. For my TK75vn, for example, which was current boosted, my standard protected cells would not maintain turbo mode. After just a few seconds, it would step down. So obviously I had a good reason to go unprotected in that case.
It is a fact that protected cells definitely are more expensive...maybe not by a lot, but to some people it makes a difference.
Theoretically the protection circuit always draws a little power from the battery, even when you aren't using it. This can lead to faster self-discharge. And it does reduce efficiency slightly...any time you make a circuit more complex (i.e., adding a protection circuit) it is absolutely inevitable that you will lose some efficiency. However, modern high-quality cells have VERY low self-discharge with or without the circuit.
Another reason is the size...the protection circuit usually adds at least 2-3 mm to the length of the cell. And in some cases, it adds almost 5 mm. This does lead to issues in the real world...some lights have tight tolerances, and adding just that little extra length can mean the cell doesn't fit at all.
Another reason is that the protection circuit can fail. Unprotected cells are just a simpler design.
In summary, I personally would recommend protected cells if they will work for your specific uses. Never a bad idea to have an extra safety feature. But unprotected cells clearly do show some advantages. Which one is better depends on the individual user.