For one, by doing the simulation part directly it's easier to see the "under repeated sampling..." logic inherent in frequentist procedures. Additionally, it's possible to do simulation-based procedures where traditional methods break down (think: permutation tests).
Seeing Theory interactivity is very interesting. I think if there is one canonical example to tie it all together it would be something akin to "estimate the likelihood of an extremely rare event". Say, you're a top astrophysicist at NASA and you have to give the President a briefing on the improbability not impossibility of an extinction level asteroid event. And you must justify how those beliefs are informed by and change with data. It ties everything together: physically based world models, event spaces, conditional probabilities, monte carlo sampling and entropy estimation. And would be really fun to boot!
Imagine how much their thought process would change if they intimately understood how scientific modelling works.
http://cjauvin.blogspot.com/2012/12/find-true-love-on-dating...
Generative models map well to programming concepts. Mixtures are quite similar to composition, and hierarchical models can be understood as inheritance. Lots of classical models like HMM, LDA, etc are quite similar to those presented in the GoF book in the sense they combine composition and inheritance in some particularly interesting manner.