Milling your own grains means access to a wider variety of fresh, flavorful flours—and optimized storage. Unlike flours made from them, wheat berries are compact and store well for ages, so having a mill means you can create fresh flour whenever you need it, and the starting materials take up far less room.
The benefit of using freshly milled flour is the higher nutritional content and better flavor. Using freshly milled flour, regardless of if you've bought it, or milled it yourself at home takes a bit of getting used to.