There are two main reasons really, one of which can be very important if using older analog drives or really cheap nasty drives.

The main reason for a using belt connection is to reduce resonance which can and does affect performance on older stepper systems, resonance can cripple performance to the point it can half the speed of the machine.

The second reason is like what Muzzer suggested in that it allows the motor to be turned inside or placed to suit the machine better.