As others have said CtrlP is slower; but not having the Ruby dependency makes it _far_ less of a headache to install on Windows, should you ever find yourself on such a machine.
Installing command-t is fairly easy on windows. Just compile as instructed with latest ruby 1.9 + devkit and replace gvim.exe with the one specified in this page https://wincent.com/comments/6544.
That's a perfect example of something that is both easy AND a headache. It's not certainly difficult to do, but I don't want to be replacing my gvim executable with one provided by an anonymous forum user just to make one script work. Ignoring the potential security issue, what happens when I want to upgrade vim, or run another script that's similarly "easy" to install on Windows?
I can't speak for other vim users, but I haven't had a lot of luck with distro versions of vim and Ruby/Python extension scripts on Linux either. After fighting with it for a while, I ended up just declaring my .vimrc to be a VimScript-only zone. It sucks losing Gundo and Command-T and a couple other great plugins, but it's done wonders for my sanity, and everything works well on Windows as a bonus.
Well the forum is not actually an anonymous forum, the site owner is creator of command-t plugin. When I encountered crash after installing command-t after upgrading to 7.3 almost 1.5 years ago the first google search led me to that page (now first result is this page http://chrislaco.com/blog/gettimg-command-t-working-on-windo..., even better with instruction).
I also had no problem installing it in Ubuntu/Mint. Just removed vanilla vim and installed vim-gtk and then compiled command-t.
Command-t is actually my only non-vimscript plugin in my plugin list, and it is rightfully so :). I tried to cope with CtrlP, but it feels too slow for me for large collection of files. Also its fuzzy matching is not on par with command-t. I have actually no problem to take this little hassle to install command-t for performance consideration :).
Or OSX where I can never seem to get vim to build from source (which is the only option for Ruby or even Python integration). I know I've done it in the past but every time I need to I forget the magic I need to do.
The vim that ships with 10.8 (and IIRC 10.7, maybe 10.6) has ruby and python linked out of the box, and straight-up
./configure --enable-rubyinterp && make
works just fine on my machine.
Or if yours isn't for whatever reason, you could cheat and grab MacVim[0] then symlink `/Applications/MacVim.app/Contents/MacOS/Vim` to `/usr/local/bin/vim` (editing paths as necessary)