I have a long arm and run a small business from my home doing mostly custom quilting (read - I use a lot of thread in my quilts! LOL)...and I do not use prewounds. If you HATE winding bobbins or you have some sort of issues winding them, they are great...but truly not necessary. They are a convenience...and for that you pay a little more more...but that's about all. You can use them if you want to, if they appeal to you, a lot of people love them! But truly, there is absolutely no difference between a prewound and winding yourself a batch of 60 wt. thread on your own bobbins (other than the disposable cardboard bobbin center).
Now, that being said...Magna Glide bobbins by Fil-Tec have a magnet center and are supposed to encourage good even tension as well as prevent backlash (used instead of a bobbin spring or bobbin washer)...I have never used them so I can't speak to their claims...but I use a lot of Glide thread and I do like it quite a bit...but I still wind my own bobbins because with a bobbin spring alone I don't have any tension or backlash issues.
**Edited to add** Well, there is ONE difference...if you don't have an industrial winder like one that comes with a long arm then you might find that there is more thread packed onto a prewound. But other than that...no difference. LOL