Good question ...
Well, for one, i hope we will be choosing our starting armor aswell ... and as someone mentioned here, some classes really benefits from having certain type of armor (Dex. Based fighter was mentioned if i remember corectly) ... so that would be quite good reason.
Then there is so often coveniently repeated immersion.

I mean, i doubt that game would give me some <Ragnarok's Axe> ... but it would be nice to have feeling that *THIS* weapon you are curently wearing is actualy yours.

And, unless you wish to include litteraly every weapon type, there is no better option than choosing starting gear.

I mean, if you read the forum, there are people (plural) who wants this option ... hells, the fact they want it is even reason for this topic to exist.

And last but not least, it adds specific flavor to your character, when they can start as close to your imagination as you want them. :P
For example ... i know it might seem a little wild, but i would like to start my Paladin with a Flail (1d8 Bludgeoning dmg) ... i ofcourse realize that is not most common weapon, but since we do find in EA Longsword, or Battleaxe that both have also 1d8 ... i would dare to say there is nothing preventing my paladin having Flail. :P