I think the biggest thing that external flashguns bring to the table is their flexibility. Yes, you basically get a bigger, more powerful on-camera flash if you want to use it like that
. But they are more than just an on-camera flash, in the context of built-in flashes - they can be bounced, diffused, or reflected much more readily, and that already helps get rid of the deer-in-headlights look that built-in flashes give.
Then if you get into either wired or wireless off-camera flash with flashguns, you get their small size and portability, plus the ability to get creative with lighting setups. The creativity that they allow is really one thing that I know I'm personally seeking when I go ahead and buy my first flash (I'm currently borrowing a Canon Speedlite 420EX).
Any of the mid-tier camera-brand flashes give you manual control over flash output as well, which again allows you to increase your creativity that would normally be limited if using just a built-in flash.
Perhaps think of it this way: You bought a DSLR system to avoid the restrictions of depth of field, magnification, or reach of compact or bridge cameras. Why should you be stuck to the same lighting abilities of those same cameras you moved up from, if you are using a more advanced system?
If you really want to see what off-camera flash can do, you really
need to read the Strobist
blog. I used to be really averse to flash photography, but that was chalked up to bad experiences with compacts and red-eye/deer-in-headlights/etc.
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