The advantage is that you can disconnect quickly and return later to retrieve it, in case there is a freighter coming down on you, current threatening to swamp your boat, a buddy sticks a fillet knife into his eyeball or your kids are waiting to be picked up from school. Simply anchoring means possibly having to cut your line and lose the gear in case of emergency. Also, not everyone has a windlass or has the muscles to retrieve an anchor from 200 feet.
My simple system consists of (in order): anchor, chain, rode (approximately400ft if you want to anchor in 200ft of water, give or take), 4" ring, approximately 50' more rode (with bullet floats), and a caribiner. The caribiner is connected to a line that is tied tight from bow to stern of the boat. The 400ft rode runs through another 4" ring that is connected with a couple meters of rope to a Scotsman so the the chain and rode can slide through from the anchor to the 4" ring. The ring at the end of the 400ft rode acts as a stopper for the ring connected to the Scotsman so that the short Scotsman rope doesn't slide onto the shorter 50ft piece of rode (this keeps the Scotsman away from the boat and acts as a shock absorption system for when your boat is moving in the swells).
So, when anchored, the caribiner should be sitting along the bow/stern line at the bow of the boat, with the Scotsman about 50ft in front of you. When you are ready to leave you motor ahead past the Scotsman and the caribiner will slide to your stern. As you motor ahead past the Scotsman you will pull the 400ft of rode through 4'' ring tied to the Scotsman (the buoy acts as resistance, bringing up the anchor). Once the chain passes through the ring to the anchor the buoy will usually buck up and down, then you stop and spool the line into your bucket, starting with the caribiner (usually clipped to the handle of the bucket so you can find it easy next time), then the 50ft rode with bullet floats, then the ring, 400ft rode, chain, and anchor and Scotsman.
If you need to bugger off for some reason simply unhook the caribiner. The system effectively becomes just a mooring buoy.
There are diagrams out there, and they'd save 1000 words...
Did you read this thread?
http://www.sportfishingbc.com/forum/showthread.php?15982-Zip-Ties-to-Anchor-when-Hali-Fishing