Why?
1.) You are in control of your name at all times.
2.) Failover support for "unscheduled" downtime.
3.) I'm interested in using several hosts for one key domain, where uptime will be a factor.
4.) Vanity nameserver.
Those are my reasons, I'm sure other people have other reasons.
Check out
http://www.ultradns.com, they have tons of information on the benefits of using managed dns service.