Here are (just) a few reasons:
1. Size does matter, a bigger screen will allow you a much better look at your image (exposure, focus point, depth of field, and color). Have you ever looked at an image on the back of your camera only to download it later and wonder if it was taken by Stevie Wonder because you can't find one area in sharp focus?
It will also help you find small imperfections that you just can't see on that 2 inch screen on the back of your camera.
2. It is not uncommon to have a commercial client or a mom in the studio while I'm shooting and they are hovering very close over my shoulder (well within my personal bubble) because they want to see what the image looks like. Shooting tethered will allow them to see the image on my monitor and I don't have to wear them like a backpack.
Getting immediate feedback from a commercial client is a HUGE time saver, you aren't going back and forth with images in an attempt to confirm you are (or are not) capturing their "vision".
3. There are times that I have shot with the camera at such an angle that it was hard for me to see the screen on the back of my camera and shooting tethered gave me a much better (and safer) view/perspective of the shot.
4. Shooting tethered can save you time and speedup your workflow, as the images are being downloaded right to your computer, you won't have to download the cards later.
5. Some folks will run an auto backup when they shoot tethered, so not only are the images downloaded, they are also immediately backed up.
Another great idea long the "tethered" lines was a suggestion I picked up from David Tejada, get a portable DVD player and hook it to the leg of your tripod. It will give you many of the same advantages of shooting tethered, can easily be taken anywhere a tripod can go, and cost you under $100.
