The idea is, go where the liquidity is. Looking at today's volume at the CBOT:
CBOT - Dow
or February's at the CME:
CME Monthly Volume Reports
You'll see there were 55 million E-mini S&P 500's traded vs 3 million S&P 500s. Would you rather trade 5 contracts in a market with 55 million contracts or 1 contract in a market with 3 million contracts?