Most obvious advantage is tax. For regular IRA, it's tax-deferred, for Roth, it's tax free.
I posted about ways to defer/avoid tax some time ago. here is the link.
http://blog.wenxuecity.com/blogview.php?date=200911&postID=16594
Best way I like is RE in Roth, which gives you a way to invest tax-free. But that's just my opinion.