As a player, I like collaborative world building for the reason Pat mentioned below - that players have buy-in and a stake in the story before the game even begins, and because it give players an opportunity to hardwire their characters into the world in a way that's not otherwise possible. It's one thing to have a "relationship" with your mom, who's a reporter. It's a whole other thing to have a "relationship" with your mom, who's a reporter for a monolithic, media corporation in a setting that's all about who controls information, because you built it that way. That said, it's not that much more important to me as a player to game in a collaboratively built world.
As a GM, it's a different story. A collaboratively built world does a couple of significant things for me. First, it makes it easy for me to think of plot hooks and story threads that will motivate the characters to act and to force them into hard decisions. Second, it helps me get what I want to out of rpgs. Many players like watching their characters grow, building them up in a way that will make them more effective in the story and that makes sense given what happened to them (if they're not complete munchkins). As a GM, I like the same thing for the world and for the story. Collaborative world building gives me the outline and frame of a world we all care about, but it also give the me plenty of space to elaborate as the plot moves forward. It gives me the freedom to build the world and story in a way that's going to be particularly effective, given what happens to the characters. In my mind, building a world from scratch allows for more creativity and strategy on the part of the GM. And it lets me watch my world grow. In a sense, the world becomes my character, even if it's not defined by rigid categories like strength, intelligence, and wisdom.
But then again, I've only done this once as a GM (in a short Burning Wheel game that I'll discuss in a later post). So this discussion is, as are most other things in my life, only in theory.