Because liches are cool.
Why would a powerful mage choose lichdom over having a living, breathing, younger clone to transfer into upon death?
Question!
Is it possible to do both? Make a few clones, keep them on ice and then become a Lich?
That may have been the case of the 1st one, or in the case of the baelorn, they were granted their powers by the Elven gods. Let's look at who become Liches and why. It's not an easy ritual to learn, or there would probably be many more. Undeath stinks of necromacy and the majority of Liches were necromancers in life. Becoming a lunch is not an accidental decision, but a very conscious one. Why choose lich? 1st, they are one of the most powerful forms of undead, which means all other undead will recognize them as such. 2nd they get undead powers including being immune to normal weapons. 3rd they can command armies of undead to the likes they never have before. Even uncontrolled one will usually defer to a lich's commands. 4th they have no real vulnerabilities. Unlike many forms of undead, they don't take damage or is weakened by sunlight, they don't lose any of their knowledge or magical abilities, and they have all the time in the world for anything they plan. Also, once they put enough magical protections on their phylactory, it can become indestructible.I seem to recall some old Lore that indicated Lichdom was the result of a failed attempt to achieve divinity... So, in that context it is more of an accidental curse, rather than a conscious choice...
I also have difficulty buying into the idea that a Wizard would opt into Lichdom rather than pursue other, less skeletal scenarios...