Why? Well, the built in feature tends to look more part of the site. It is fully customizable, and much more professional then using Google's solution. Is it as good? I think sometimes its better, it depends on how I am searching.
A thread at WebmasterWorld discusses this topic. Clint offers some good advice. (1) "If you're in sales of a product, that putting a G search box (or any search box for that matter) that has a "search the web" feature, that this is going to potentially push your potential customers elsewhere." (2) "Atomz's paid version is great", if you can afford it.