In addition to the reasons other people have mentioned (e.g. fuel economy, reliability), one reason that a lot of people prefer manuals is the feeling you get when you floor the accelerator.
An automatic transmission has no way of knowing what gear you're about to need. It has to react to changes in throttle position, whereas the driver of a manual car can anticipate the need to accelerate and change gears beforehand.
For efficiency reasons automatic transmissions usually stay in a high gear, and will then shift down after you've hit the accelerator. It usually takes a second or two for it to shift, and so the result is weak acceleration initially, and then a sudden jolt - it's unpredictable and uncomfortable (and in certain cases, unsafe).
A manual transmission on the other hand provides instant access to a predictable amount of torque. This is useful when you're exiting a corner, or overtaking on a freeway.
It's the main reason why people who like sports cars hate (slushbox) automatics - there are a lot of cases where an automatic is guaranteed to be in the wrong gear, and there's nothing that the driver can do about it.