Well, several reasons. First and foremost, around here at least, the jails don't have a yard. This means that during your time there, you will never taste fresh air.

Second, there are TVs, weights, and activities in prison, none of which you will find in jail.

Third, the commissary (stuff you can buy) is much better in prison. You can get CD players, sunglasses, Nike shoes, and other decent stuff in prison. All you can really get in jail is junk food.

Lastly, believe it or not, the people in prison are generally much cooler. People in jail are jackasses who think they are going to get out soon (and usually are), so they don't ever want to be cool or get to know anyone. When you're locked up, time passes SO SLOW, so if you can actually talk with the other people in there, you'll at least have something to do.

There's some stuff I'm forgetting too, but these are some key issues. Oh also, prisons are much cleaner and nicer looking, as they are state funded and not dependant on how rich/poor the county is.