I just prefer having oil in the engine and not in a pipe next to your leg.

A burst pipe or guage (as has been known to happen) is not good on a road car to clean up. A competition car isn't too bad, just wipe the excess off and the rest is anti-corrosion!

As it happens, my new engine management monitors oil pressure and I can set it to flag up a warning if it drops to a certain level or cut the car out completely if it drops even lower..