The “I” character speaks directly to the reader. When done well, this type of POV can bond the reader to the character more closely than other forms of POV. While first person is regularly used in mysteries and “chicklit,” it's not the most common POV in the romance genre.
First-person POV creates an intimate bond between the reader and the character. This bond is definitely seen as an advantage. Most first-person writers also find their ability to get into deep characterization easier than some third-person writers.
When a third-person writer is having trouble getting into her character, a good piece of advice is to attempt to write the scene in first person then go back and change it to the third-person voice. Many times, the “I” voice will allow the writer to get closer to her characters.
In most cases, first-person POV is not the norm for romance publishers. Therefore, first-person authors find a more limited market to submit their work. Category lines rarely use it. Even in the single-title houses, most traditional romances are written in third person. Basically, this is due to readers' expectations of having both the hero's and heroine's POV. With only a few exceptions, first-person romance novels are written in only the main character's POV. This means that your main character will have to be present in every scene. And your only method of communicating with the reader is through what this character experiences.