I think coolers are popular because they are cheap, they don't require a second burner/stand/etc., they hold temps REALLY well, and they are light and easy to move around and store.
I made up a really simple steam injection system for my cooler MLT that gives you all the advantages of direct firing, but you retain all the advantages of the cooler. For me, it is almost necessary because I can't brew outdoors in the winter (feels like 8 months of the year up here in Canada!) and I needed something that I could use in my kitchen. In some ways, it is the best of both worlds, and cost me all of $35 to make. Details are in my signature.
