I just got my first SFF a couple months ago. I'd say the main benefit is that they are small and light. Really not much more benefit other than that. In fact, the disadvantages probably far outweigh the advantages. But I got tired of a clunky case sitting on the floor and waiting to get something small to put up on the desk.
Pros:
Small - can fit on the desk
Light - easy to move around making them fairly portable
Looks - they look cool
Convenience - its easier than building a new pc completely from scratch as its the motherboard is pre-installed and its easy to add everything else in.
Cons:
Limited expansion - only 1 agp and 1 pci slot usually. 1 cd/dvd drive and 2 HDs.
Heat - mine was getting fairly hot until I modded it by adding a blowhole/case fan
Upgradability - for the most part you can't just swap out the motherboard to upgrade the system
Price - its pricier than just building your own from scratch. You are probably paying a $100 premium for the SFF.
Neutral:
Noise - isn't all that bad. It's quieter than some of my computers in the past but its noisier than others. You have limited abilities to make it quieter though, so it will never be absolutely silent. Some models might be quieter than others though.
Builtins - Mine has built in sound (not using it though, I got an audigy 2), built in firewire, usb 2.0, and universal card reader. You can get these on some desktops too though so its not a specific advantage, just makes up for the lack of expandability.
So for my situation I'm happy with it. However, if you have no specific need for a small case, I think a normal mini-tower or something would be a better overall way to go.