To be free from the .Net runtime. If you're deploying on an environment where .Net would be unnecessary overhead, you can use OCaml, compile to native code, and distribute with a minimal runtime.

Well, my personal machine runs Windows, and at work we're a heavy C#/SQL Server shop, so .Net is fine with me.

Better cross-platform support. In my experience .NET works fine in Mono anyway, so by extension F# is likely fine on Linux/OSX, but your mileage may vary.