I asked myself the same question last year. Bought myself the Nord-Lead 4R and I'm very happy with it. Creating sounds on it is much more fun. All those knobs, I love it.
Does the Nord-Lead sound better then for example NI Massive VST? Yes! Good enough to be so more expensive then a VST? At the end, I guess so,... maybe... It's the complete experience for me. I get much faster results with the Nord-Lead then with working the mouse. It's also much more fun for me.
I guess in a way: You pay extra for a better sound and better hands-on experience. The sad part, you pay a lot extra. It's not only the hardware synth, but you also need an audio interface to bring the audio back into your DAW.
But it's not really needed, you can stick with VST's just as good. Going hardware is expensive, needs more space, but also more fun!
So when you do want to take the step. Think good about it! For example, do you want a mono or a polyphonic synth? Can you save the presets to a PC? How many audio outputs does it have? Does it have USB MIDI or do you also need a MIDI interface?