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Maybe the number one reason is that debt forms a tax shield: Interest payments are an expense which reduces your tax base while dividend payments don't. (see the trade-off theory)

Asymmetric information is another possible reason to prefer debt: If somebody wants to sell something, it often means that he's not happy with it. So what does it tell a potential investor if management wants to sell equity? Thus, management will often prefer to issue debt as to not send a negative signal to the market. (see the pecking order theory)

It's interesting to note that Modigliani & Miller have proven that the financial structure (ratio of equity to debt) wouldn't matter in a frictionless market. There are many theories concerning many different market frictions, e.g. bankruptcy cost, agency problems, etc.