If you're a guitar player, think of FX chains as a pedalboard - you don't need to patch your effects together from scratch each time. (No batteries, either!)
Being able to control multiple parameters simultaneously is wonderful. For example, one of my favorite techniques is that with a compressor, you can control the threshold and makeup gain simultaneously so that regardless of the amount of compression, the output level remains constant.
You can also create your own GUI, which may seem trivial but an artistic GUI always seems like more fun to use