What's the advantage using motor shield?

Well, most shields have noticeable added capabilities like Ethernet, storage, LCD etc.

I can't find something special in motor shield. Why do I need a shield for it? Why not simply supply direct current to the motors (from Arduino board or external)?

If you try to power a motor off of your board their is a 99% chance you will kill your Arduino. As for providing power to the motors from an external power supply that is what the shields does.

Best of Luck!

I can't find something special in motor shield. Why do I need a shield for it? Why not simply supply direct current to the motors (from Arduino board or external)?

The arduino pins can only supply ~40ma max, which insufficient to drive most motors. Also motors produce voltage spikes when being switched on/off that might damage the arduino.

mightyaad: I can't find something special in motor shield. Why do I need a shield for it? Why not simply supply direct current to the motors (from Arduino board or external)?

Really? Which one are you looking at? Mine has an L298 motor driver IC, a 4077 CMOS nor gate IC, a bunch of schottky diodes, resistors, capacitors, LEDs. It also has connections for sensors, servos, motors, and an external power supply from which to drive them so I don't burn out my Arduino by running too much current through it.

http://arduino.cc/en/Main/ArduinoMotorShieldR3 has a pretty good description of what it does.