There are many advantages of Stored Procedures. I was once asked what do I think is the most important feature of Stored Procedure? I have to pick only ONE. It is tough question.
I answered : Execution Plan Retention and Reuse (SP are compiled and their execution plan is cached and used again to when the same SP is executed again)
Not to mentioned I received the second question following my answer : Why? Because all the other advantage known (they are mentioned below) of SP can be achieved without using SP. Though Execution Plan Retention and Reuse can only be achieved using Stored Procedure only.
Reference : Pinal Dave (http://blog.SQLAuthority.com)