I had two through the wall units in my last house; they came with the place and I'd never seen any before. At the time I bought, the house didn't have central air, and those units were really handy. Even after I installed CAC, I got a lot of use out of the wall units. The CAC didn't work perfectly in the rowhouse (it was good and cold in the basement, adequate on the 1st floor and better than nothing on the 2nd). The wall units were really helpful at helping cool off the bedroom, and also let me keep the rest of the house set to a warmer temp. (My real estate agent was worried a potential buyer might want me to remove the wall units, but fortunately that wasn't a problem).
I liked being able to open the window if I wanted, although to be honest I didn't very often because they were the old metal casements and difficult to control... which probably explains why there were no window units when I bought the house.