Giuseppe nicely sums up the differences, when you might prefer a L3 switch over a router (generally the latter when you need features only found on them).
Another way to look at this, L3 switches (for many of the reasons noted by Giuseppe) are usually most suitable on LANs. Many of "newer" WAN technologies provide L2 connectivity, so often they too can be treated like LANs.
However, occasionally MetroEthernet like networks, sometimes have needs beyond what a typical LAN L3 switch offers. For such situations, there is a class of switches, MetroEthernet switches, that offer some additional features over LAN L3 switches, that address situations where a LAN L3 switch isn't quite "enough" while a router, especially a high performance model, is much, much more expensive.
That said, if you need to deal with full Internet BGP tables, most L3 switches cannot effectively deal with such large route tables. I.e. it's not something like BGP that's a problem, just capacity limits for number of routes that can be dealt with in hardware (also noted by Giuseppe).
One feature, not mentioned by Giuseppe, is L3 LAN switches generally have much less is the way of QoS features than a router. MetroE switches are sometimes better in supporting QoS features, but they too are weak in comparison to routers. This can become important because "WAN/MAN" links are often much, more expensive than LANs for "like" bandwidth and so congestion can be more likely with them.
