There are certain avantages of including passwords and such in separate scripts. The first one is given.. so you can secure the the file outside of the documentroot.
another reason would be code-recycling. I usually use a config.inc file to include all the configuration items for my site. If i build another site or migrate the site to another server i only have to change the config.inc file. With a simple .htaccess file (on a apache server) i can secure the file.