The primary reason that they could probably disable fighters more effectively this way (Donald.McLean has already mentioned this in his reply). There's also a secondary reason too. Torturing the children in “interesting” ways, such as dropping another into a tank of brains or making them dance, would make the other children spend time trying to help the affected children, and would destroy their morale much more than just straight killing them with killing curses could do.
Also, mind you, the Death Eaters did manage to kill Sirius Black in the fight in Order of the Phoenix, and that was what made the most lasting bad effect on Harry Potter.