Velour is nice on those super cold or super hot days. It can also be softer than leather (Have you ever sat in a Mk3 VW with leather? It's like sitting on beef jerky!) I found it a lot harder to keep clean though. The extra grip it gives you in the seat is nice for those of us who take corners at more then 5 mph
That said I did swap leather into my Jetta and specifically sought it out when I was shopping for my Benz.
-Jason