Before you start spending money on a fly sparging setup, read this: http://dennybrew.com/
Notice than Brewfun started his reply with, "Aside from claims about time, ease or tradition..." I've done fly sparges a few times and found it was too time consuming. I switched to batch sparges for a few years and now do almost all my beers as no-sparge. I'm lazy. I've also read claims that no-sparge brewing emphasizes malt character. I've also read claims that some brewers prefer low-efficiency brews. Either or both may be true, but the ease of brewing is what I care about.