!!Breaking news - Steinberg recently open sourced the ASIO SDK (GPLv3) so Audacity will be able to release ASIO binaries. As they are focussed on Audacity 4 it might not happen anytime soon though!!
I highly recommend you watch this video by Audacity lead Martin Keary / @Tantacrul on the plans for Audacity 4 and a tour of the recent deep, difficult engineering on 3.x.x
You might want Audacity to work with the ASIO drivers supplied with your sound devices. Commmon reasons for this are:
- Only ASIO drivers are available for your hardware (eg Behringer mixers)
- Performance - ASIO has low latency (delays)