simply that the more powerful cards require more juice to run
All video cards get power directly through the AGP socket, but the newer Radeon's and Geforces' need more power, so they get a direct plug to the PSU as well as getting power from the AGP socket.
Its not really better/worse to have a card with or without one. But if you get a card that does have an auxilary plug, be damned sure you plug it in, else youl mess the video card up good