There are a few main advantages to regulated supplies,
- Lower noise floor and power supply noise rejection. I.e. better isolates the circuit from any noise or ripple on the main DC supply.
- Regulated voltage, keeps biasing points consistent as the DC voltages won't fluctuate with mains voltage, especially important for digital circuity.
- Output impedance, most regulated supplies present a lower impedance to the load which can help frequency response.
As above i mock up all my circuits with bench supplies, my Heathkit 2717 is especially good for tube circuits as it can generate a regulated 400dc, and provides 6v and 12v outputs to drive the filaments. It could also be shocking dangerous if you are not careful, pun intended!