There are a lot of advantages of using sprites,
as long as the performance is acceptable for your game. For 90% of people, it will be fine.
Transparency. you can use alpha transparency. Pasted Images only have colour key transparency (pick a colour and all pixels of that colour are 100% transparent)
They look after their own repainting. That is, you can move them, and it repaints whatever was underneath automatically.
More properties available, such as height, width etc.
You can rotate, mirror, stretch and squash sprites.