DC-DC Buck Regulator: Embedded or External MOSFET
The differences are largely obvious just from the mechanics:

Integrated is smaller since you don't need to add the pass element.

Integrated is a little easier to use since the chip does more for you, particular the driving of the pass element.

External can be better performance.  The integrated pass elements don't usually have the best available specs.

External is necessary for high current.  When the current is high enough that dissipation of the pass element is a issue, then forcing it to be small and integrated on a chip that also has to do other things is a obvious disadvantage.



In general, get integrated for simplicity and board space, external for high power or high efficiency.  It is interesting to note that cost is often not a deciding factor.  The chips with integrated pass element are suprprisingly expensive.  You can often do better on cost by getting exactly the transistor you need for your particular case, as apposed to the many sizes fits all that had to be integrated onto the chip.