The big advantage is flexibility. An exchange makes it easier to get the price you want and allows you to ‘lay’ (ie bet against) an outcome as well as ‘backing’ (betting for an outcome). Thus, even if you don’t know who is going to win the next horse race if you’re confident that one horse has no chance you can oppose it and score a small profit. Moreover, because bets are placed directly against other punters, prices are often better than mainstream bookies – and there is far more movement on in-play markets.
However, there are weaknesses. Liquidity is crucial – if nobody else is interested in your market, you will find it hard to match the bets you want. It isn’t a problem when you bet on the Champions League final, but when you have a hot tip about that Iranian U23s league game you might find it hard to get on. Similarly, it’s difficult to build an accumulator on any exchange.