Well, beyond having to leave your home row and stretch for the PgUp/Down keys, it's nice not having to think about whether you're working on a local or remote machine, whether you're on a Windows machine in putty, on 127.0.0.1 with gnome-terminal/urxvt/xterm -- or given a proper setup, even whether you're using tmux or screen.

Creating new windows is the same command, switching between them is. And as others have mentioned, detaching processes without thinking about it beforehand (like you'd have to do if you start them with nohup/dtach).

Granted, the Xzibit-ness of it all grinds my wasted CPU cycle gears sometimes. Strangely enough, I haven't seen a setup where e.g. the X11 frontend just connects to a remote detachment & management daemon over ssh, so only one program is emulating ancient terminal hardware...