advantages of drush bam vs. drush sql-dump / drush sql-connect
There aren't giant differences between the two approaches. Here are a few small differences:

drush sql-dump uses mysqldump program in the background and so is must faster than the pure PHP approach taken by BAM.

You can easily skip tables with sql-dump as well. See the help for this command.

Finally, some folks might want to use sql-sync which does all of these steps in one command. It works faster than sql-dump+sql_connect when one of the machines is remote. It also includes optional data sanitization.