As Mark said, they are a lot more powerful that the built-in flash, they also use their own batteries so dont drain the camera ones.
The light direction can almost always be changed so you can bounce flash of a wall/ceiling.
Because the flash sits tall on top of the camera it means that it is a lot less likely to cause red eye when taking pictures of people.
There really are 100's of advantages to using a speedlight over using your built-in flash, take a look through this forum or give it a search on Google, it will keep you busy for hours!