Most of my EDC knives have lanyards, a few don't. I like them because they make my knife easy to get to when I have gloves on or a tape measure clipped to my pocket.
When I am outdoors (camping, hiking, etc) I usually have one with me just for the little bit of extra para cord. If I have my bag with me I have all the extra para cord I need but sometimes I leave it back at camp because it's not practical to take it everywhere. I've used the couple feet of para cord to fix my boot laces, tie down banking poles to my 4 wheeler, and a few other things. Nothing too major just makes it nice.
The only big draw back to a lanyard that I can think of you be that I can make your knife pretty accessible to others near by. Mine hangs out and over my pocket a few inches and if someone wanted to they could walk right up beside me and give it a pull, possibly without me knowing. So I guess theft would be a drawback.
Flatlander
Edit: My EDC's that I am talking about in this post are my clip on's, I have no lanyard for my "in" pocket knives.