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I like matte finished beads. The colors do not pop quite as much, but individual colors tend to blend with things you wouldn't normally choose when the finish is unglazed. The beads have a more earthy feel and are smooth as silk after sanding.
Glazed beads, on the other hand, have that great light-reflecting quality that makes you notice jewelry. Glaze deepens the colors and makes them stand out more. Glaze also fills in and strengthens the surface of a bead.
Designing a piece of jewelry using both glazed and unglazed beads works in most compositions, but most of my newest work cries out for diversity and a large variety of beads from which to choose. I envy people who have huge bead stashes to pick from when designing. I want to create all of the beads in a piece myself. Perhaps years from now I will have built up a backlog of beads. Perhaps I'll be making something else altogether. Robots, maybe.