Two advantages mainly. One is for burning physical CDs - assuming you don't have the original CD to begin with and you get a hold of such music file plus cue sheet (or with embedded cue sheet), then you can burn a physical CD out of it which is as close to the original CD as you can get. Of course you can also re-create the CD by adding all individual tracks on the list then burn it, but depending on how the tracks were ripped (e.g. whether gaps were removed), the outcoming CD would likely be different from the original CD. That's why those lossless music files with cue sheet are often tagged "EAC", which means Exact Audio Copy. Exact Audio Copy is actually the name of a ripping program and I won't go into either the tag or the program in details because that will be a long story. Simply put, EAC files are usually something rippers go for, because that means they get a hold of a digital copy of the CD in its exact form.
Another advantage is, if you got a playlist of your favorite songs and you want to make it mobile, you can combine those songs into a single file with a cue sheet, then you can transport the combo to another device that supports cue sheet so you don't need to create a playlist there again.
Music file with cue sheet does not save space at all. The size of one big file with 10 tracks is almost exactly the same as 10 individual tracks added together, if applying the same ripping algorithm.
