Some exchanges like localbitcoins allow you to convert physical cash into bitcoins. This offers the person converting the money peace of mind as its very unlikely that physical cash being converted to bitcoins can ever be traced back. But, some other exchanges require identity confirmation and as such. Some people prefer anonymity and the peace of mind that comes with it and are willing to pay a little bit extra for that. Having said that, the difference between many of the competitive online only exchanges aren't that big.