Using dll's have many advantages. The two most important I can think of, is code re-use, and easy upgrade (you only mofify the dll instead of the exe). It's also fairly fast, easy to implement, and offers a more "clean" structure of your program, since all your code wouldn't be resident in the main exe.

Here's a tutorial on writing dll's and linking 'em with delphi:
http://delphi.about.com/library/weekly/aa041100a.htm

EDIT: Ooh.. You beat me by three min. Alimonster