I moved from Lemmy.ml because I liked the name of Lemmy.world and it ran a newer Lemmy version which meant I could make communities. I moved from Lemmy.world because they defederated from piracy communities they didn't even host (but for some reason still kept the small piracy community they DID host) From thelemmy.club because I couldn't see the Hackintosh community from there (probably defederated) Now I spent some time looking on join-lemmy.org and checked out some instances and this (lemy.lol) instance seemed good, so I chose that.
Some instances are running on better servers than others, have staff that fix issues quicker and attend to updates sooner.
For example, .world is still on v18 while the rest of the threadiverse has mostly moved on to v19.
Some instances defederate certain other instances, so in some cases you might end up finding that a community you subbed to gets disappeared by the admins of your instance (lemmy.ml did this to ani.social a while back). Whether there are valid reasons goes case by case, sopuli.xyz for example blocks instances that are for porn, and I like it that way.
Though outward federation is a bit borked on there atm, so I'm using my alts...
But really, it doesn't matter that much. If the grass looks greener, you can hop over the fence and see for yourself, and then hop right back if it turns out it wasn't.
While I'm not on world, I also hold off on upgrades. Lemmy is still Alpha, after all.