I think it's usually for the longer-term storage of the wheat berries vs flour, with a health bent. I think there's also some bible verse about grinding grains? Not sure about that, but I seem to recall seeing something about it on someone's blog. Financially, it may not be worth it considering how cheap flour is. If you want to grind your own for other reasons, that's a different matter.
At Costco, a 25lb bag of bread flour is under $10. Even at our local grocery store, we can get a 10lb bag of flour for about $4.50. I haven't heavily price-compared wheat berries, but the last time I saw them, wheat berries were about $20 for a 25lb bag. I'm sure there are places you can get it more cheaply though.