Tefzel is great wire, but it's hard to find in anything larger than 16ga if you need it (like for the main feed to a fusebox for example). Also, none of the negatives mentioned above apply to good speaker wire (melting insulation from soldering, cracking due to bending, vibration, or bending, etc.). That said, Tefzel is definitely a little thinner, so if this is a factor for you, look into it for sure. OTOH it's also less pliable, so it doesn't route as easily as speaker wire.
As far as pricing, IMO it matters. Yes, we use relatively short runs, but if you're looking to supply your work bench for future projects, you might want a few rolls of wire so that you can color code your wiring, different gauges for different uses, etc. For example, I use 12ga red/black for the main power to my front and trunk fuse panels, and blue/black 16ga for all of the accessories that run off those boxes that aren't lights. For all lighting I use red/black 16ga. In this way I can easily distinguish which wires go to what when troubleshooting or modifying my setup. If I wanted to buy 100' rolls of each of those in Tefzel I'd be into it for six or seven hundred dollars. I've got (5) 100' rolls of the aforementioned gauges of speaker wire on my bench and I think I'm into all of it for about $130 iirc.
Anyway, like I said the Tefzel stuff is solid for sure, but like most things, there isn't a "right" answer, as each choice has its drawbacks. For me, the only drawback of speaker wire is that it's thicker than others because of thick insulation, but this makes it durable and pliable, so it's a trade-off.
