Free agents are the result of teams being taken over by computer managers. When that happens, good players are put on the transfer list for sale.
THere's no real benefit to buying a free agent, although because they initially go on the transfer list for $1000 (I think), you might be able to buy them for cheaper than what an active manager would list their player at. Even so, when free agent players are quality players, people find them and buy them for pretty fair prices.