Heating up with steam
This is very common. What you are describing would usually be called either a bain marie or a double boiler. It is normally used for things that you don't want to overheat, such as hollandaise sauce, ganache, and some other dairy based sauces. 

As for advantages and disadvantages, it really depends on what you're heating. For the sauces mentioned above, the advantage is ensuring that no part of the sauce will get above 212F, the temperature of the boiling water. Microwaving will be faster for most things though.