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bill - 7:30 am on Feb 25, 2009 (gmt 0)
If you use FeedBurner you can take advantage of the various services they offer, including tracking, etc. If you don't use FeedBurner, then you don't get to take advantage of their services. Regardless, you have to upload your feed on your site anyway for FeedBurner to access it. If you're confused about the FeedBurner services offered they do have a lot of help documentation on their site that you could refer to.
Wat is more beneficial.? To have feed in Feedburner or upload in own website?
As I explained before, you can have both if you use FeedBurner's MyBrand.