It is a simple thing to say you have a 5% chance to do full damage or double damage. That can be exciting and it can be enough. I totally encourage this if it's the style of play you want. However...
I am a fan of the Iron Crown Enterprises Role Master Series, even if I don't think I'd want to play it again. Coming off AD&D in high school, Role Master seemed like a fantastic system to us. All those percentile tables were great and the critical hit tables were just full of awesome. Nose breaking, brain bursting, fire scorching awesome. All those looking up tables and rolling took a toll on the game however and after a year or so we switched the campaign over to a much simpler percentile die system (Marvel Superheros). Since then I have always had a soft spot for the distribution curve* and unfortunately, aside from character stat generation this isn't satisfied in d20. I did think about using 2d10 for d20 but the system isn't designed for it and I believe that you would get a lot of grief and wasted die rolling by bolting it on. I did want to keep something of that alive however so the perfect place to do it was in a Critical Hit table.
There is something special about a % table**. Maybe it's because the most common results come from the middle and generally the things you want to have happen (or not happen) are the first and last item on the list. Those events are pretty rare so when they happen they really stand out. It's fun putting them together and once you flesh out the middle, you can relax a bit on game balance and put in some cool bits. Your critical hit/miss table can have a mage loose 1d6 MIND points from a botched spell or have a fighter shatter his opponents shield (or his shield arm!), because it's not going to happen that often. It provides a way to damage armour and keep blacksmiths busy fixing chain-mail, it provides churches with Restoration spells another source of income. And when you roll that triple sized fireball and perhaps kill half your party - you'll remember it as special too.
* ok more of a angle than a curve with percentile dice, but still a probability graph!
** note I totally got this ass backwards if you read Trevors' comments below but remember that it's been like two decades since I played rolemaster. The important part is that Beacon used 2d10 for critical hits because it's kick ass.