They go on easily and produce a much thinner oil film. They also spill a lot faster if you get careless with the cap open. Also, mineral oils are hypoallergenic. Refrigerating oil when not in use and keeping bottles full also helps. If you refrigerate the oil then you might want to warm the bottle of oil in a hot water bath before using it.
Some people have allergies to specific vegetable oils.
Some people feel that vegetable oils are in some way more natural than mineral oils. Oils containing vitamin E may have a better shelf life, since it's an antioxidant. You don't need special oils, but they can be a nice touch. Make sure you remember to rub the oil between your hands to warm it, never pour it directly on the person you are massaging as it is uncomfortable and distracting. If you are just starting out, John Cole recommends trying safflower oil.