Besides the Tetons, Wyoming doesn't have distinct natural borders nor does it have large amounts of water or arable land. When it became a territory in 1868, Wyoming Territory was sparsely populated and had only small amounts of known mineral reserves. Why was it thought necessary to make it an independent territory rather than keep it divided between the Idaho, Dakota and Nebraska territories?
The creation of the territory was almost entirely driven by the railroad - Cheyenne was that important. Coal and gold mining, assisted by the railroad, were also important in increasing the area’s population.
The following paragraph describes some of the reasoning surrounding the law that created the territory:
The first proposal to establish a temporary government for the territory of Wyoming was made on January 5, 1865, by James M. Ashley of Ohio, who for a short time served as Governor of the Territory of Montana, and later became the chairman of the House Committee on Territories. Politicians in Dakota Territory, to which Wyoming belonged, also favored a subdivision, since they realized that the large population following the new railway could swing an election, regardless of what the older citizens of Dakota wanted.
Source: Wyoming, a Guide to Its History, Highways, and People, University of Nebraska Press
It should be noted that for many years, it was Nevada, not Wyoming, that people were wondering same thing about. It had very few inhabitants; why was it still a state? Then Vegas took off (lots of interesting history about that), so now Wyoming gets the short end of the stick.