!!Breaking news - Steinberg recently open sourced the ASIO SDK (GPLv3) so Audacity will be able to release ASIO binaries. As they are focussed on Audacity 4 it might not happen anytime soon though!!
You might want Audacity to work with the ASIO drivers supplied with your sound devices. Commmon reasons for this are:
- Only ASIO drivers are available for your hardware (eg Behringer mixers)
- Performance - ASIO has low latency (delays)
- You don't want to use the ASIO4All bridging driver with non ASIO drivers
- Multi channel support - though Audacity is not so good at handling other than Stereo or Mono
