Makes my life easier not having to open multiple apps to get to what I need.
Entourage is very slow. iCal can start faster than Entourage can switch between Mail and Calendar views. Entourage will probably never run as fast as any of Apple's apps, period.
And what does "connect natively to and Exchange server" mean anyway. Nothing native about it since the Exchange servers are Windows based.
Entourage is simply a WebDAV client. It is limited by whatever the Exchange server can pipe out over HTTP. Entourage is unable to schedule resources, sync tasks, sync notes etc.
Apple licensed Microsoft's ActiveSync protocol for use in the iPhone so that it could directly communicate with the exchange server to view/update calendars, reply to event invitations, send receive mail, browse the LDAP directory etc. This protocol can more directly work with a user's mailbox than a WebDAV client can.
Now, in Snow Leopard, Apple will be using Microsoft's new replacement to MAPI (which has been in use since Outlook's inception) called 'Exchange Web Services.' This is a new approach to communicating with an Exchange server, one that actually embraces XML and SOAP standards and allows full functionality of any third party product that uses the EWS API.
No longer will OS X users be unable to fully utilize Exchange features and Apple's apps will now be welcome citizens on that platform.
Entourage may be alright if you are just using it on a personal basis, but when you begin working with others in a more corporate environment, you start realizing all of the features that you are missing out on.
As an aside: Other than not supporting many Exchange features, other problems exist:
It is unable to view multiple calendars in one view. If you wanted to compare calendars with a colleague, you cannot look at them side by side.
HTML support is horrible in message bodies, and you are not even able to use HTML in messages. You honestly are unable to create a link in the body of a message.
Entourage uses a single file database store for all messages, events etc. This is bad for a couple reasons, mainly: Time Machine is unable to back up this file properly, the single file can grow to a size where the entire database becomes corrupt and all data is lost.
Oh and yes, it is incredibly slow.