firstly it gives you safety of funds - regulatory bodies usually require brokers to hold client funds in segregated bank accounts, and never use those funds at any given time for their own operations, and in some countries investor funds must be insured so as to guarantee reimbursement in case the broker goes under (it happens!)
secondly, transparency: regulated brokers tend to provide honest and transparent services because there is a body that oversees what they do, and this can prevent identity theft, platform manipulation and dishonest promotions
thirdly, most regulators perform random checks on the operations of companies under their jurisdiction to ensure that they stay honest in their operations and services
fourthly, favorable dispute resolution: you are guaranteed fair resolution in the event that a dispute arises - regulators are mandated to protect investors, which means that you can expect just treatment in case you ever want to resolve any issue that arises between you and the broker, and the regulator has power over the broker, it’s like an independent arbitration service (especially proper regulators like FCA in the UK, ASIC in Australia, but not so much in countries with “soft regulators” like Cyprus and Caribbean/Pacific island nations)
for all these and other reasons using an unregulated broker just makes no sense at all