I know rpm make it a lot easier to setup since it's "presetup." what benifit do I get from compiling the code instead?

RPMs are compiled against a particular system. If you have a different setup than the one on which the program was compiled, there is a (slightly) greater chance of instability in the application.

Sometimes you have additional options. For example with Mplayer you can choose whether you want a graphical interface. If not then you can opt not to compile that into the program. Also, if a program has the option to use different libraries to do something (say, it could choose to use either SDL or OpenAL for sound support) then if you compile the code yourself you can opt for whichever you prefer (or have installed). With RPMs you're stuck with whatever compile options the person who created the RPM chose.

You might also see speed increases if, for example, the rpm was compiled for a Pentium, and you compile for a Pentium 4. I don't know the details, but my understanding is that the Pentium 4 has some instructions that can perform certain operations faster than the original Pentium. If you don't compile with the option to use those instructions, you'll just be running with the old Pentium instruction set. This is the difference between rpms labeled i386 and i686.

(Correct me if I'm wrong, anyone, or just provide more details.)