Is it worth having two locks in exterior doors?
The lock in the knob can be set to be locked when the door is closed.  In other words, you do not have to do anything extra to lock the door, just pull it closed.  This can be good or bad depending on how you look at it (it can be easy to lock yourself out this way).  The dead bolt on the other hand always requires an extra step to lock the door (put the key in, lock it, and remove the key); this forces you to have a key in hand, preventing you from locking yourself out.  

Depending on what you are doing/replacing, also check your local building codes.  Some types of deadbolts (the ones that require a key on both sides) may not be allowed in certain situations.