Most of your fiber, vitamins, minerals and antioxidants are found in the bran and germ of a wheat kernel – but this is the very part that gets removed in processed flours you find in supermarkets. Grinding your own flour ensures that you are baking with the most nutritious product possible.
Freshly ground flour contains the natural oils found in the grain which adds a lightness to baked goods that ordinary whole wheat flour does not contribute. As a caution, this also means that the home-milled flour needs to be used up quickly (within a day or two) or kept cold, like in your freezer so that the oil does not turn rancid.
Price can factor in as well, especially if you tend to cook with a lot of specialty or gluten free flours. These can be expensive to buy and it’s more economical to buy the grains and grind them yourself as needed.