Well, all finite sets must be discrete*. (Unless I'm really missing something.) I can't comment about that being an aesthetic preference, but discreteness is something that naturally comes with finite sets.
*(by "finite set" I mean a set containing a finite number of elements)
But you can also have infinite and discrete sets, such as the naturals and the integers. But not continuous and finite (finite range, yes, but not finite number of elements in the set).
[Then again, I'm from an engineering background.]