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Components usually have better power handling than coaxials. Plus, they allow for better imaging, as you can place the tweeter and mids in different locations.
Typically also components have higher grade cross overs while most coaxils only have a capacitor for the tweeter. I have seen a few higher end coaxils such as cdts. Image dynamics has a set that can be either a component or coaxil. Coaxil can actually be very good because all the sound is coming from the same source but most are cheaply made as an entry level set.