You have to be physically present to do so. The Nest can be set over the Internet using a mobile app. That's a categorical difference. That's not worth hundreds of dollars to me, but it's a feature some people care about.
There's also the option to tie your heating system into your local utility provider's network. My utility pays $25/yr to let them turn down your heat a few times a month, when load is high. Combine that with a $100 rebate on the Nest, and actual cost to me can be recouped in a few years.
Not like default thermostats are free either, and a lot of them have mind-blowingly bad UX. "Just hold down these 4 buttons at once while hitting these two up arrows to adjust the time!"
I know a lot of people like it. It does sound nice, but in reality, it's meh. Enter/exit house, take half a minute to adjust your thermostat.