Microsoft has significantly improved the tools available to developers and implementers for SharePoint 2010. The two primary tools, SharePoint Designer 2010 and Visual Studio 2010, have evolved into first class power user, site owner, and developer tools that target different audiences.

Microsoft SharePoint Designer is a specialized HTML editor and web design freeware for creating or modifying Microsoft SharePoint sites and web pages. It is a part of Microsoft SharePoint family of products.
SharePoint Designer features focuses on designing and customizing Microsoft SharePoint websites. For instance, it includes SharePoint-specific site templates.

Visual Studio 2010 is the primary development environment for all custom code and resource development for SharePoint 2010. Developers can also use a new project template that can rebuild a solution by importing an existing solution package (.wsp) file. Visual Studio 2010 provides a new extensibility model named the Managed Extensibility Framework (MEF), and a SharePoint 2010 project system API. Using this framework and API, developers can extend and customize Visual Studio 2010.

Benefits of using Visual Studio

1. Workflows created in Share point Designer can be exported and imported to visual studio but the other way around is not possible.
2. When developing solutions for SharePoint using Visual Studio, there is nothing special if you are targeting SharePoint. All of your sources files are handled as they normally are when you are using a version control system.
3. You can use Visual Studio to group related SharePoint elements into a Feature. Next, you can create a SharePoint solution package (.wsp) to bundle multiple features, site definitions, assemblies, and other files into a single package, which stores the files in a format needed by SharePoint to deploy the files to the server.

References
http://msdn.microsoft.com/en-us/library/gg512102.aspx#bk_spdevtools
http://msdn.microsoft.com/en-us/library/ms253064.aspx
http://msdn.microsoft.com/en-us/library/ms181368.aspx