Armor rusts and breaks. It also gets stolen.
Dwemer robots rust, break, short-out, degrade, and have a myriad of other problems.
Bah! Those liches arent thinking grand enough. If i wanted immortality, i sure wouldnt use such an... unrefined, disgusting way. Umaril had the right idea. Became a Daedra. Bound forever to the Waters of Oblivion. Reborn as much as he wanted. Controlls aurorans. Only combined power of 9 divines could topple him. Even then, it's questionable. Also, if we're getting into the subject of immortality and binding your soul to something, why not boind it to some artifact, bury it somewhere where NOBODY will ever find it, then wander as a ghost posessing people and living out their lives? That way you wont be a social paraih (i mean, come on, really. What reaction will the guards have to a lich trying to buy a beer at Olav's tap and tackle?)
Doppleganging also seems another option instead of posession.
Liches arent imaginative enough.