Using software like Adobe Lightroom and Aperture for tethered shooting will provide you more control in terms of image adjustments and fine tuning. Shooting with the camera capture software would allow finer control of the camera features. You can always set up your shoot to be imported into these programs once they’ve been captured by your camera control software. Once you have established your workflow of tethered shoots you can customise your gear using special tripod setups and stands to shoot more comfortably. For example, if you have a decent enough laptop, you could try on-the-go tethered shooting!
You are not limited to professional applications like Lightroom and Aperture for tethered shooting, you can always find other free applications that will allow you to achieve the same. Remember that tethered shooting allows you to control your camera in a very different manner allowing you the possibility of trying out new shots like time lapse since some cameras do not come with built controls but do allow you to use software based control of such features.

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Images: JTWilcox and coffee3in1
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Learn more here:
http://tuffguyphotography.com/blog/2008/09/shooting-tethered-on-canon-dslrs/
http://www.photosmudger.com/2008/12/cameras-computers-and-bondage.html
http://photoshopnews.com/2006/12/06/tethered-shooting-in-lightroom/
http://www.jibble.org/canon-tethered-shooting/
http://terrywhite.com/techblog/?p=528