Well I haven't played Malifaux yet (waiting on my Death Marshals to show up!) but it certainly appeals to me more.
Having a handful of interesting characters to use just feels better than using an army of nameless, faceless squads.
The characters are better too. Take WH40k for example. I play Space Wolves, and find that being told "Yo check out this bad ass Viking dude in awesome armour with a big ass bird on his shoulder" just isn't effective. Wyrd did an awesome job in including so much fluff in the rulebook: I had zero interest in Rasputina before reading through it, but now I'll probably pick her crew up when I've got my Death Marshals painted up. Same goes for Seamus.
I have a feeling certain companies might try similar things now.
Haha, I'm assuming all Skirmish games are like this, anyway.