Another advantage could be that using HtmlTextWriter one could format code in a cleaner (more maintenance friendly) way, and that HtmlTextWriter supports encoding HTML automatically. Compare:
writer.AddAttribute(HtmlTextWriterAttribute.Id, "someId");
if (!string.IsNullOrEmpty(cssClass)) writer.AddAttribute(HtmlTextWriterAttribute.Class, cssClass);
writer.AddStyleAttribute(HtmlTextWriterStyle.Color, "Red");
writer.RenderBeginTag(HtmlTextWriterTag.Span);
writer.WriteEncodedText(text);
writer.RenderEndTag();
versus:
StringBuilder html = new StringBuilder();
html.Append("<span");
html.Append(" id=\"someId\"");
if (!string.IsNullOrEmpty(cssClass)) html.AppendFormat(" class=\"{0}\"", HttpUtility.HtmlAttributeEncode(cssClass));
html.Append(">");
html.Append(HttpUtility.HtmlEncode(text));
html.Append("</span>");
One may argue that the code in the second example can be written in a different, possibly cleaner, way, but this could be seen as an advantage of HtmlTextWriter because it basically enforces one canonical way of formatting (which again improves maintenance).
Edit: In fact, I actually made a mistake in the second snippet, and I needed to go back and fix the response. This confirms the point I wanted to make.