The advantage is that georeferenced images (or maps) do not need any calibration afterwards.
Plain image files
Most image files and images in the www are without any additional information except the image it self (jpg, gif, png, bmp, etc.). Some image file formats may carry fields that can hold georeferencing information. Mostly images that carry georeferencing information are special formats like bsb (kap) and others.
Notice that some image formats can take huge amounts of memory space compared to some compressed formats. For example bmp files do not use any compression and can be up to 10 times larger than other formats.The program uses internally some formats that use more space, but are much more faster to load at run time.
Files with geographic reference information (map files)
There are basicly two ways to add the geographic information to standard image files. Use standard image files and add an extra file that carries this information (mostly in plain text format). One example of this is tif and tfw (image and world file). The world file (tfw) can be edited manually if desired.
Or include all information in one special file. This yields special conversion routine for the image, but is more compact to use.