There are lots of reasons, but mainly it is the feel of the neck. The non finished ones just have a great feel, that you don't get caught up on. You like Mahogany, there is Gancalo Alves. A little brighter? Wenge. Still more brightness, Bubinga, Canary, Pau Ferro, Bloodwood, Ebony... I have missed quite a few in there as well. There is a look/sound/texture to fit you in an unfinished neck. But mainly it is the Feel. I am a Wenge guy myself...
The easiest way to try some of the woods out is to find a shop that carries high end basses. The Bass Guitar world adopted the exotic neck woods a while ago, so you can take them for a test spin there. Then you can form more of an opinion. I would suggest this if you are in the, "once I buy it, there is no going back," situation. But yeah, it was a life changer for me. I got a Bass with a wenge neck in the 90's, and was forever spoiled.
Patrick