Mechanical keys have a much smoother action to them given their lower actuation force. Certain keys "like mx blue" create tactile feed back to help improve typing accuracy. They also are more consistent, unlike membrane keys which will stiffen over time.
For fps games where you tend to just hold the buttons down it really doesn't matter much. But for moba and mmo where you constantly pressing different keys it really does make the game more comfortable. It creates a situation where you just can't see your self going back.