Spending hours creating a detailed setting and history, carefully placing opponents, obstacles, props, plot devices and plot twists, and then purposefully inviting people to come rampage through everything, destroying all my work before I even understand what is happening satisfies the masochist in me.
But to answer your questions more directly, you have more room to be creative as GM, as you control everything but the PC's actions. Also, if you enjoy entertaining people, that's what being a GM is all about.
Only downside I can think of is that you're kind of responsible for everyone's fun. If there's ever a boring or dry gaming session, it's the GM's fault. Really, it is. But that's not much of a downside. After all, nobody bats 1000, and I have yet to be crucified for a lame session.
Besides that, agreed with Rand, GOF, Cory, and Reaper.