Under Linux I always run vim in a terminal. Part of this is habit because I (in the past) often edit files on remote computers and I like the consistency.

On my mac I end up using MacVim mostly so that my Vim and Terminal apps can be considered separate apps for the purpose of things like spaces, and it just seemed to integrate a little better with the Mac infrastructure.

But in general I haven't found a reason to prefer a GUI version over a terminal version when a sufficiently capable terminal is available.