I was a windows phone user since 6.5 on the HTC Radar. LOVE LOVE LOVE Windows Mobile, start tiles, ease of transferring files between PC and the phone, ability to add a memory card (1520). Currently sporting a 6S+
I was hesitant and debated for a long time in doing the same as you. I tried droid last year and couldn't stand it. The hardware was nice, but the file fragmentation is ridiculous. (photos go everywhere instead of a simple gallery). Not to mention the fragmentation of the OS and overall susceptibility to malware/viruses.
With iPhone, you don't get as many malware/viruses as you would in Android.
You gain the few apps we have been missing in Windows Mobile, including the improvement in app quality (even from MS).
However,
You lose Cortana (OMG, Siri is crippled and ridiculous in comparison)
You lose the better camera. (20mp vs 12mp, but if you go with the 6(s)+ you get to keep the OIS)
You lose Glance Screen ( so bummed about this one), didn't realize how much I relied on it.
You lose the ease in transferring files.
You lose the ability to add storage via memory card.
You lose the new stuff in Windows 10
You lose your cellular data until you turn off Wi-Fi assist.
You get more Ads.
You lose Miracast (now I need to get a Apple TV just to share photos on the tube again).
You GET to buy a lot of crappy power cords!!!
You lose control to Apple.
You can still download HERE maps, so you don't have to use cellular data for maps (pre-load maps on Wi-Fi).
However, maybe you are like me and keep the windows phone as a Wi-Fi device to keep status on Windows 10... and wait for it to mature.
I'm also using my Bing Rewards to buy entries into the 950XL sweepstakes.
I will keep my Apple investment low, so the eco-system doesn't drag me in permanently.