Hmm, on netfilter based firewalls, I like the ability to have some seldomly used filter modules lying around, and being able to load them "on demand". I almost never do this, so it is more of a (in?)security blanket.
If we tread into proprietary waters, most Check Point firewalls are based on Linux and load part of their code as a monstrously big kernel module -- making this feature mandatory there.