1) You can render millions of polygons
2) You can render using less memory
3) Because you use less memory, you get faster renders (when you run out and start using Virtual Memory, it becomes slooowwww)
4) You get smaller scene size, which means everything loads faster, more responsive in the viewpoint. For example, you can go from 60mb scene to 5mb scene - that means you can use Incremental Save without the entire project taking up 8gb of hd space
5) All the cool kids use it
(well at least ORB and lhnova. Who IMO have best car and motorcycle renders of 2005)
So to sum it up, if you're using VRay to render high poly things, use VRayProxy.