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V_V comments on Median utility rather than mean? - Less Wrong Discussion
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As the Wikipedia says, "If the distribution has finite variance". That's not necessarily a good assumption.
Consider a policy with three possible outcomes: one pony; two ponies; the universe is converted to paperclips. What's the median outcome? One pony. Don't you want a pony?
The median is a robust estimator meaning that it's harder for outliers to screw you up. The price for that, though, is indifference to the outliers which I am not sure is advisable in the utility context.
In fact, "Pascal's mugging" scenarios tend to pop up when you allow for utility distributions with infinite variance.
For Pascal's Muggings I don't think you care that much about variance -- what you want is a gargantuan skew.