1) Do you remember wondering what was in the presents under the Christmas tree as a kid? Didn't looking at those parcels, wondering about their contents, make your Christmas that much more special? Not knowing whether your baby is a girl or a boy keeps your pregnancy exciting and mysterious until the very end. Finding out what the gender of your baby is might just motivate you to work a little harder during the pushing stage of your labor, too.
2) There is more to your baby than just their gender. Their gender doesn't really matter. Knowing what sex your baby is does not tell you anything else about them. Some moms love having the opportunity to get to know their baby in utero without getting obsessed with the small details such as gender.
3) Ultrasounds do not always accurately predict the gender of your baby. They do make mistakes. By not knowing at all, you will at least avoid buying lots of stuff for the wrong gender.
4) Some people only want one ultrasound, or no ultrasound at all. In that case, being at peace with having a surprise (well, gender-wise) at the birth is a lot more practical.
5) Mothers tend to know the gender of their baby instinctively, and don't need the help of ultrasound to find out.
6) If you are pregnant now, or have been in the past, you are well aware of the way in which people even random strangers keep asking "what you are having". Saying that you don't know, and don't want to find out until birth, is definitely satisfying and keeps people who want to push their choice of baby name on you at bay as well.