1. Keeps it legal while its here.
2. Safety issue - if you have your fog lights on, you probably should have your marker/position lights on as well.
3. Keeps you from being an idiot, and lets you turn off all the lights with just one switch. You know, instead of being a not unusual BMW/other German car type owner and remembering to shut off the headlights but forgetting to turn off their fog/driving lights - and then needing to get a jumpstart from the guy in the big black British car (which was designed by people smart enough to include a relay linking the aux lights to the headlight switch.)
Not being insulting, I have had lots of German car owners ask me for jumps over the years because they left their fogs on.