So, is there any benefit to doing this?
There could be.
SACD and DVD-A aren't supported via S/PDIF (optical or coax digital) connections, so if you want that format, you have to go analog out of your player and into your preamp.
If your preamp doesn't support HDMI audio processing and you want to get the latest audio formats out of your BluRay or HD-DVD player, you have to use those analog connections.
Finally, and least likely, if you think your player can do a better job of bass managment, or has better DACs* than, your preamp, you may wish to use the analog connection.
*This is directed towards no one in particular, but can we please, please, please not turn this into a "there is no difference in any DACs" thread?