one consideration on the use of custom tags over udfs or cfc methods is when you find that a subroutine needs to be passed an array of child items, you can use nested custom tags to associate a child custom tag and its elements to a parent custom tag. this allows you to do very nice clean coding thats easy to read:
<cfmenubar ... >
<cfloop array="menuitems" ...>
<cfmenubaritem url="#i.url#">
#i.label#
</cfmenubaritem>
</cfloop>
</cfmenubar>
yes,yes i know we have nicer dhtml stuff like menus and tabs, this is simply to point out an example. you can use cfassociate in the custom tag to "pass" the attributes to the parent custom tag and then in the executionmode="end" access all the dynamically generated child items in the array of associated attributes. this is where you would loop and output the menu to the screen in this example.
also, as another commented, allows you to do some clever things... one thing in particular i use is that i set prefix="" and then i can essentially force simple html tags (like the <a> tag) to get kicked through a custom tag handler at runtime - so an html tag becomes intelligent at runtime... i do this so i can analize the href and the target attributes and decide if i want to display a pdf icon (or other mime type icon) next to the link... its pretty slick! this is especially helpful in a content management system or when 7you have html developers using dreamweaver or contribute and you want to have their tags fire smart coldfusion tags without them doing anything outside of standard html - the editor doesnt know any difference and they dont need to go into "code" view to make some fairly powerful functionality.
finally, in a custom tag you can choose to suppress output (or use a cache), so this can be very useful to wrap around chunck of dynamically generated html... access the thistag.generatedcontent variable in the executionmode EQ "end" mode
dont throw out the baby with the bathwater on this one ... i agree their usage is much less frequent since we have cfcs, however there is still some powerful functionality in custom tags... i usually have one or 2 in every application (and at least dozens of cfcs)
hth
jon