It's not just that it's easier, but you can get much finer detail, you don't have to deal with vias, and you can do more than two layers. And (big plus in my book), you don't have to deal with the inevitability of breaking those insanely small end mills.
The only benefit over having a board shop do it is the turnaround time, and even that's essentially a tradeoff of time vs money.
I just sent a board off to OSHPark. 3.5"x2.3" two-layer board for essentially $15 each.
Surface quality on milled PCBs can be pretty good but you have to get a bit spendy. Also, the copper FR4 likes to delaminate under stress and deforms easily if you use the wrong cutting parameters so you typically want to go for a higher quality board material. It's pretty common for high end RF boards to be milled.
The only benefit over having a board shop do it is the turnaround time, and even that's essentially a tradeoff of time vs money.
I just sent a board off to OSHPark. 3.5"x2.3" two-layer board for essentially $15 each.