If there're no differences between a built-in flash and an external one, there's no point to even invent one in the first place. As the others have suggested some differences, other main differences is that u can use an external one off the camera to create different lighting effects as a master/slave and the ability to use bounce lighting.
IMO, built-in flashes are kind of harsh and not versatile. The only thing gd is that during a quick snapshot where flash is needed, u can just use the built-in flash without having to take out the external one and mounting it to the camera.