A proportional thermostat pulses power (in proportion to what is needed) to the heat source. If only a small amount of power is needed to get the heat source up to temperature, that's all the thermostat allows through. In contrast, an "on/off" thermostat has just that, either an on mode or an off mode. With an "on/off" thermostat, even if only a small amount of power is needed to get the heat source up to temperature, the "on/off" thermostat will turn the heat source on "full blast" to get it there.
In my experience, I have seen a more steady and constant temperatue held with proportional thermostats than with on/off types. The on/off thermostats that I have used have allowed a signifigant fluctuation in temperatues that I personally find unacceptable.
I do know several people that use and have no problems with on/off thermostats. They're just not my cup of tea.
-adam