A lot of that has to do with features and quality of the service. If you have advanced DNS needs (failover, traffic directing, etc) you may need to use a third party. If you have very basic needs sometimes the host can provide those easily for you. Additional conversation: http://stackoverflow.com/questions/8605200/settings-dns-reco...
Providers like Digital Ocean let you use their nameservers. Why would I do this over just using the registrars nameservers?