1. I can sit around a dealer for a couple hours and save a couple thousand bucks: that's $500-$1k/hr. Pretty good (e.g., worth my time).
2. I get to practice my negotiation skills. This has gotten fun. And while I will likely never be in the position of negotiating for large amounts (e.g., sale of a business), in that instance a 10% delta could equate to hundreds of thousands of dollars.
I bought a pre-owned car a couple months ago from a high-end, reputable dealer. They pulled the "that guy over there is interested in the same car" trick. I was tempted to go over an introduce myself (should have). Instead I told them the color wasn't my first choice and they should sell to the other guy. I was told the manager came over to "say goodbye" (no he wasn't), so I stood up and put on my coat. We reached a deal. My wife was freaking out. It was fun.
Negotiation costs time and stress. If one has more money than time and stress tolerance, it makes sense to pay to skip the negotiation.