Lots of reasons - properly prepared, it's a pleasure to paint on, and very responsive to brush pressure. It's light and durable; and when a painting doesn't work out, you can dispose of it easily - or cut out a part you like, and restretch it on smaller stretchers.Paintings on canvas are very easy to transport (rolled or stretched). And on and on

FWIW, I usually paint either on stretched canvas, or glued & gessoed oak plywood, I do like them both, but for different things. I used to use MDF, but found it less suitable in various ways than plywood. Plus I have yet to have any buyer react favourably to the aesthetic values of MDF...
Back to slick's question re. stretching canvas - I think a common problem that causes warping is stretching the canvas too tight before it's been wetted. I find stretching raw canvas just finger tight works fine - it'll tighten enough after sizing. (mileage varies, of course)