Mostly because  the wide range of shapes I can draw in Ai wich may be more complex to draw in Ps. By using pixel preview you can control exactly the aspect that your vector drawing will have once in the website. Anyway, as I said before, further work in Ps is sometimes needed in order to finish the art properly but Ai is way much more comfortable and accurate to begin designing icon packs or entire websites.

Hi john, thanks for your answer:

"Bigger-the-better" is not suitable for web designing, the images, particulary icons or favicons, are so small that you need to control and decide almost every single pixel in the image. For this kind of works I'd say "Exact-size-the-only-way".

That's the reason why is so important the resolution matching between Ai and Ps.

The question still, Why if I copy/paste from Ai to Ps I get resized 96ppi image?.

Again, thanks.

Hi again,

That method you mention, exporting from Illustrator in png file with transparency on, is the one I`ve been using since I had found this 96ppi issue while copy/pasting. What's weird is that I only get this 96ppi result in certain computers, reason why I began to suspect that it was something related with the preferences of either Ai or Ps.

I'm building an icon at 20px precisely because that's exactly the same size it will be shown in the website. You can see a sample here. As you can see we are talking about really small images with few pixels to manage .

I've never tried what you suggested of using 300ppi images for that task, I'll try.

As far as I know there is no way to "Save-for-web" as a vector. Since displays show images in pixels I guess there is no way to improve this little icons visibility but building them sharp and clean.

Thanks again for your time and interest.

P.D. After posting I realized that the image I linked is automatically resized when shown here, feel free to check the image at 100% by using this url:

http://www.gatopardo.es/images/sample.png

Tsu.