@Harry
Ok here is a reason for you or at least for me.
The benefit I see is enhanced security (build in firewall etc.), but as I have just a single laptop connected to the internet and don't have a flat rate so far (poor student ) it is just not worthy the effort and the price (routers over here start at 25$ - don't nail me down to that).
I also do not think that there is a great loss of comfort by typing just one command in linux or klicking an icon in windows.
regards,
Arthur