Two years after my first go, I'm recidivating...
Why do we prefer parameters? SQL injection is obviously a big reason, but could it be that we're secretly longing to get back to SQL as a language. SQL in string literals is already a weird cultural practice, but at least you can copy and paste your request into management studio. SQL dynamically constructed with host language conditionals and control structures, when SQL has conditionals and control structures, is just level 0 barbarism. You have to run your app in debug, or with a trace, to see what SQL it generates.
Don't stop with just parameters. Go all the way and use QueryFirst (disclaimer: which I wrote). Your SQL lives in a .sql file. You edit it in the fabulous TSQL editor window, with syntax validation and Intellisense for your tables and columns. You can assign test data in the special comments section and click "play" to run your query right there in the window. Creating a parameter is as easy as putting "@myParam" in your SQL. Then, each time you save, QueryFirst generates the C# wrapper for your query. Your parameters pop up, strongly typed, as arguments to the Execute() methods. Your results are returned in an IEnumerable or List of strongly typed POCOs, the types generated from the actual schema returned by your query. If your query doesn't run, your app won't compile. If your db schema changes and your query runs but some columns disappear, the compile error points to the line in your code that tries to access the missing data. And there are numerous other advantages. Why would you want to access data any other way?