It could be useful if, for example, you need to set up a Firewall. Setting up a Firewall in your machine is fine but not as effective.
Most benefits would be noticable when running a server. Built-in firewall, built-in DDNS (which is really not a big deal) and probably some other things I don't know about. Maybe some have built-in IDS, although I don't know if this is possible or even useful, seeing how malware is always improving.
Of course if you are getting speed improvements that'd be beneficial for anyone.
Some people also choose routers based on their compatibility with this
. Doesn't seem like something I would care about much though. It does seem useful though.