The only good reason to use MacVim is support for millions of colors so color schemes look nicer. It also supports full screen mode (now in Lion Terminal does too, but before this used to be a missing feature), also it's easier to launch MacVim as external editing tool for other apps like Firefox with Pentadactyl extension (this allows you to edit any text box/area with vim). Other than that, you really don't need MacVim, unless you are very anal about colors :D.
Using the GUI version of MacVim does give you a couple of other really important features which no one will be able to do with out....
...a squiggly redline under your spelling mistakes and easy mapping of the command key for shortcuts. I think you might also be able to do more with fonts (e.g. italics for comments) too.
On a more serious note, I tend to use both MacVim and iTerm 2 in maximised windows (not full screen as such) on separate monitors. E.g. iTerm2 on the laptop, MacVim external.
I could run MacVim in a terminal but I don't get anything from it either. Of course working remotely is a different matter.
