Benefits of using an External A/D converter with ATmega128
It would typically come down to some aspect of performance. If you want 12, 16 or even 20 real bits of result your 10-bit ADC will be woefully inadequate. 

In some cases it might be functionality- reference range, or differential input, or maybe an on-board PGA (programmable gain amplifier) or current sources.  

Probably conversion speed is not going to be a reason because the AVR is not all that fast, but you might want a large analog bandwidth for undersampling an RF signal.