Advantages are no extra cost when purchasing the motherboard also you can use a smaller power supply. Easy to use and little setup required (only drivers to install). No incompatibility issues with the motherboard.
Disadvantages. You cannot upgrade without replacing the board or buying other components (usually it the GPU that requires an upgrade first). The onboard devices are usually weaker than plug on devices ie the PCI-e GPU. Depending on the motherboard you may be limited to what programs/games ect the machine will run.