Main benefit to me -- able to ask questions after the procedure and remember responses!
Good doctors (like mine) set up a separate appointment to go over the scope results a couple weeks later, after the biopsy results come back. Since the questions and the answers are going to be the same at that time, and there will be new questions about the biopsy results which can't be asked during the procedure, this should not be a major consideration in deciding to have the procedure without sedation. I also find it's easier to view photos on a TV monitor in my doctor's office than it is in a procedure room. He puts them on the TV monitor, I have a much better view of them, and we can discuss them without either of us having distractions. This does not need to happen at the time of the procedure, it can happen at any time that is convenient for the patient.