Mash out does two things, one it stops conversion and "sets" your wort profile. Say you mash at 158F, your wort will have longer sugar chains and be a little less fermentable leading to a beer that has more body. When you raise the mash temp during a mash out it will stop the conversion process and keep these longer chains.
Mash out also liquifies the wort to make it easier to drain off giving you a better efficiency.
I have done both and like to mash out, it does get me 8-10 more on the efficiency side but more important seems to give me more predictable gravities. I hit my expected gravity reading right on with beers in the 1.050-1.080 range every time when I mash out.
Ruffled Feathers Brewery