When you make the cancellation process smooth and friendly, if that customer is reconsidering at a later date, they will remember that their last interaction with you was a pleasent one.
If it's hard to unsubscribe - then their last memory is a bad one, and it's even harder to persuade that person to resubsubscribe again.
This is admitedly more applicable to industries with a lot of annual churn between suppliers - such as insurance, internet providers, power suppliers etc -- but it should be a rule of thumb for all companies.