I like mailto links myself, but I'm not sure I'm representative. I've gotten much better response rates from contact forms than mailto links when I've tried them.
I'd like to see some more solid data on it, but my speculation is that: 1) many users have misconfigurations that result in clicking on a mailto: link not going to the email client they usually use; 2) other users are scared off when clicking on a web link doesn't open a web page like they expect, but instead opens up some other app on their computer; and 3) a final set of users balk at sending an email once they realize it's an email, because it feels too personal and complex (you've got to compose an actual letter, with a "Dear so-and-so").
I'd like to see some more solid data on it, but my speculation is that: 1) many users have misconfigurations that result in clicking on a mailto: link not going to the email client they usually use; 2) other users are scared off when clicking on a web link doesn't open a web page like they expect, but instead opens up some other app on their computer; and 3) a final set of users balk at sending an email once they realize it's an email, because it feels too personal and complex (you've got to compose an actual letter, with a "Dear so-and-so").