It's a good honest question. There are several reasons not to change an ECU (and several to go ahead).
Of course, the advantage of swapping your stock ECU is perfect fuel management (or as much as your calculator will allow). LINK, venom, etc, all have programmable management that can vastly change our cars performance, ESPECIALLY with a F/I or all-motor setup.
But there are drawbacks:
1. You're never going to pass emissions again (d'oh). That leaves out half the country.
2. You do pollute more (see: emissions). If you're doing this as a daily driver, you're putting a lot of crap into the atmosphere.
3. It takes a lot of work, and repeated tweaking, to get the timing right. If you've ever installed a complete ECU/FMU replacement, you know that it can take a while (waning: vast understatement) to perfect, and it must be re-calibrated over time.
4. You lose all the auxilliary functions of the ECU (unless you reharness them): Gauges are a no-go, as the computer controls some of those as well (although I believe speed and RPM will still work).
5. Knock sensing is not up to par on some systems. They rely intead on proper mapping to avoid knock in the first place. But if you get a tank of bad gas (which those of us who travel will occasionally), knock can occur, which means you're b****-slapping the engine.
There are alternatives: Some piggyback units can help the ECU, and allow you to map and decide timing as in a standalone, but it is all routed through the ECU, so stock functions, knock sensing, etc are maintained. The ONLY drawback to these is you will not be able to push the extremes as you can in a full replacement, where you can tweak every last bit of power out.