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One advantage of subdomains is, that you can split your traffic to different computers (now or later) without problems. www.example.com might point to a virtual web server at your hosting company, where blog.example.com or ftp.example.com can point to your personal computer or local network attached to the internet with for example a DSL connection.
Conversely, adding a new directory to an existing site adds content depth and has the potential to rank well for competitive terms right away (particularly in Google, if organic is part of your biz model).
With subdomains, you can install your blog software in blog.mybigwebsite.com, while you can't install on mybigwebsite.com/blog, even if it's the same location.