Why choose the Horcrux
"In order to master death; to better ensure min immortality, I do select the most foolproof method. Min Horcrux granteth me life eternal." – Loxias, Horcrux creator and rumoured master of the Elder Wand.
The quest for immortality is but a natural extension of the human drive to endure, to conquer death and continue on. Ghosts can tell us that there is an afterlife, and even the prospect of being a ghost is a sort of eternity. The alchemist's quest for the Philosopher's Stone, rumoured to have been achieved by Nicolas Flamel as recently as one hundred years ago, is yet another method of achieving the immortality desired by would-be conquerors of death. Even the mythical Deathly Hallows, supposedly created by Death himself, are said to make the man who unites them the Master of Death.
So why, with so many methods (both real and myth) of achieving an eternal existence, would one elect to create a Horcrux in order to become immortal?
The answer is quite simple: the Horcrux is by far the most reliable method. It is true that becoming a ghost is more reliable for one who simply seeketh to persist, however ghosts are unable to affect the world around them and so are accordingly discounted from this debate. It is the need; the instinct to survive that drives people to create Horcruxes.
Of the Philosopher's Stone, the simple fact of the matter is that the Stone can be depleted. Eternal life lasteth only as long as there is a Stone to provide the Elixir, and death by non-natural causes is still possible. Not so with the Horcrux. Rather, the Horcrux is eternal, and its power can never be depleted.
Of the Deathly Hallows, it can only be said that the legend may well be based in fact. Long ago, around the time at which Queen Mæve established her school in Ireland, there lived three brothers by the name of Peverell. Antioch, Cadmus, and Ignotus were immensely creative and powerful wizards, capable of great feats of magick. If the old færie tale is at all based in fact, it would be sensible for it to be based on these three brothers.
Antioch is rumoured, as according to the legend, to have created a wand of elder that would amplify its master's power. Wandlore aside, there is only the testimony of Dark Lords past who claimed ownership of an all-powerful wand to support the rumour. One such Lord, who shall be discussed later, is both rumoured to have carried the Wand of Destiny and to have been the most recent practitioner of Horcrux magick.
The second brother, Cadmus, as the tale goeth, created a Stone that would revive the dead. The Stone was lost after he took his own life, and none can say who hath it now. It is known that a man, of age roughly the same as the amount of time Cadmus' beloved had been dead when he created the Stone, surfaced after Cadmus died. He claimed Peverell lineage and all genealogical tests pointed to him as the rightful heir to Cadmus Peverell. The Stone, if it existeth, hath long since been lost to myth and lore.
The third brother, Ignotus Peverell, is said to have created a Cloak of True Invisibility. Infallible in its protection, this Cloak is rumoured to have passed directly down the line, from father to eldest child. The current whereabouts are unknown (if such a cloak truly existeth), but a genealogical study giveth the current owner as Betelgeuse Lestrange, whose eldest child is betrothed to Ignatius Potter.
Together these three items are rumoured to make the owner the Master of Death. But what that doth entail is a mystery. Not even when they were first created are the items said to have been united. It can be argued that the Wand granteth the ability to dispense death, the Stone the ability to recall the dead, and the Cloak the ability to evade death, but this argument leaveth the owner at even less advantage than doth the Philosopher's Stone. The so-called 'Master of Death' will die as any man dies, as early as any other man ordinarily dies.
And once again, it all returneth to the Horcrux. As the only reliable way to earn immortality for any significant time, Horcrux magick can be trusted to preserve the life of the user. It merely taketh a sort of moral flexibility to master the art.