First of all since you know everyone is going to try to refer to these from memory, here are the weapon stats from the 3.5 SRD:
Weapon, type, cost, damage, range increment, weight, damage type
Dagger, simple-light melee weapon, 2 gp, 1d4/19-20x2, 10', 1#, P/S
Throwing Axe, martial-light melee, 8 gp, 1d6/x2, 10', 2#, S
Kukri, martial-light melee, 8 gp, 1d4/18-20x2, --, 2#, S
Short Sword, martial-light melee, 10 gp, 1d6/19-20x2, --, 2#, P
The most obvious difference is that a dagger is a simple, rather than a martial, weapon. Classes that can't use martial weapons can still use a dagger. Second, daggers are cheap. You can buy four daggers for the cost of one throwing axe or kukri, or five daggers for the cost of one short sword. Third, daggers have a good critical threat range: better than a throwing axe's and as good as a short sword's. Plus, unlike the kukri, the dagger can be thrown. Fourth, daggers are both piercing and slashing weapons, which is sometimes helpful against monsters with DR against one of those damage types. Fifth, daggers are more easily concealable than other weapons (check the Sleight of Hand skill description).
Finally, the dagger is a staple D&D weapon. If you've never used a dagger you're not a real D&Der.
