Using www.* gives you more options for load-balancing and distributing your website too, since an A record can only resolve to an IP address.

I recently learned that the hard way when the Amazon Elastic Load Balancer IP address we were pointing our A record at abruptly went out of service. Serendipitously, we had already been preferring www.* for some arbitrary reasons so it was an easy fix. And it turns out we're reaping the benefit of what Johann describes too, as we are also serving a large number of images from a separate subdomain.