Okay, this is all subjective, but the reasons I prefer my Squeezebox 3 over the Roku Soundbridge:
Audio, the DAC in the Squeezebox performs really nice anti-aliasing on some of my worst quality music, making it sound pretty decent. The Roku sound quality isn't bad, but I could tell the difference.
Ease of use, my wife struggled with the Roku, the Squeezebox she picked up pretty easily.
Size, the Squeezebox is tiny, granted, the Roku aint huge, but it is bigger.
Wired to Wireless pass through, I don't use it that much, but it has been a life saver once or twice already.
Controlability, being able to control the device to such an extent from the web interface is great, plus the ability to use practically any other remote control with it instead of merely the stock on that comes with it.
Expandability, the ammount of plugins and extras to allow you to squeeze every last drop of functionality from such a teeny device.
Oh yes, Roku may have fixed it now, but when I had one they passed raw output to the optical out, meaning that the bitrate that came out of the S/PDIF port was matched to that of the music being playing, this caused my DAC to have many a hissy fit when playing VBR MP3s. The SqueezeBox scales everything up to either 44.1 or 48.
I'm sure there's more, so I may come back and edit later.
As I said before, this is all subjective and personal preference.
Seri