I tried it 'cause it's new, frankly, and wanted to see what it was all about. I'm still running it as it appears to have better battery life overall than CM4D2, and so far is running very smoothly and meeting my needs.
It has some lock screen options (various designs that allow you to open into a specific app/activity, see message counts, etc.) built in and nicely integrated into the stock ROM (I own and have tried Widgetlocker on GB ROMs and CM, and never liked that app very much).
Theming is very easy (somewhat similar to CM in this case) and built into the ROM as well, and you can download and preview themes directly from within the theme settings, and you can modify individual parts of a theme (lockscreen from one, icons from another).
You can hold the Home button on the lock screen to enable the torch, for the simplest and easiest to use flashlight option I've used yet on a locked phone.
There are some settings in MIUI that aren't in CM, but I'm blanking on what they are right now.
I haven't put a ton of effort into comparing the two ROMs, but that's a quick, short list.
Here's a list of 17 MIUI tips...
http://maketecheasier.com/17-hidden-tips-and-tricks-for-miui/2011/05/15