IMHO:
Speed and better lenses. It's debatable if some people would even care, though, given that SLRs tend to be bigger (unwieldy, especially with smaller hands), and can be difficult to learn.
I have a D50, and I love it, and I'm happy I bought it rather than a current-gen P&S. However, P&Ss are rapidly advancing, and the problems that were true in my old Canon S200 P&S (a 2-megapixel tiny model), including increeedibly slow processing and delays between shots - have now ... well, they haven't gone away, but they're not the big deal they once were. Especially with the Sony R10, a nice P&S, the technology has improved a lot.
That said, a P&S locks you into one lens (although it may be a very zoomy lens, the quality typically can't even approach a dSLR). Typically you'll have speed issues compared to a dSLR (but it isn't NEARLY as bad as it once was). Typically the flexibility in what you can do with the settings of the camera are quite a bit less (vastly less, usually), but most people won't care.
For that great picture of a water dropping and waves splashing (we've all seen this picture a million times - it's very common) you'd typically want a dSLR, and you'd play with exposures and all kinds of other settings. For a great picture of your kids running around the back yard, a P&S is typically fine. It's when you get into the in-between areas that it becomes debatable which is better.
Nikon doesn't help matters when they price their D50 (a REALLY nice camera!) at just $500-$600. For the vast majority, this is a great way to get into SLR photography, and it takes the same lenses that the higher priced (and their next-generation cousins) will take, so there's very little risk in investing in lenses. When you sell, sure, you might get 1/2 of what you spend for the D50, but the lenses shouldn't drop in value _nearly_ as much (lens technology is far more constant and consistent than camera technology.)