I thought the same as this but quite a few people seem to recommend getting a docking station.
Is there any advantage to having one?
Aesthetics, mostly. It's much more attractive to have a cleanly-wired dock sitting on your desk than a stray, slowly-coiling iPod cable. Plus, since it props up your phone at a nice angle it's easier to see the time, incoming calls, or what have you.
Plus, if you have it away from a computer, say, plugged into a wall socket (using the iPhone's adapter, of course) you can put an audio out from the dock to a stereo system, and use an included Apple Remote to control the thing.