I have not seen much value in CAD applications directly supporting (instead of importing) a foreign CAD file format. I thought that when you can import such CAD format, you are done as well.
But there is a difference. New Inventor 2008 can not only import but it can also directly work with the AutoCAD DWG file format. Similarly, AutoCAD 2008 can not only import but also underlay Microstation DGN V8 files and DWF files.
The main advantage is that you doesn’t need to take care about the updates of such external files. Inventor or AutoCAD will just load (underlay, open) the most current version of this file (e.g. from a shared network location) – you don’t need to explicitly import the new version all the time.