I love a pieced border, they can add so much more visual interest but can be tricky to work with and are very time consuming. A plain border is a great place to showcase fancy quilting like feathers and such.
A lot can be said for using the many border prints available as well. Jenny Byer is like the queen of designing and using border prints to enhance the quilt and really give it a wow factor. Again you have to match the repeat and be very careful on your corner miters. And as ghostrider said you want to enhance or compliment the overall design of the quilt. Sometimes plain borders do that.