what is better in it than directly using regular expression ? I guess it is more powerfull enabling more stuff ?
CFGs are indeed more powerful then regular expresions, in fact, infinitely times more powerful. See http://en.wikipedia.org/wiki/Chomsky_hierarchy
Type-3, or Regular languages, described by RE, are only a subset of CFG (Type-2). Very simple example of language you can't describe with RE is a^nba^n (that is, some number of a, then b, and then same number of a again).
EDIT: wow, I'm a necromancer...