Selling a domain is a lot like selling a home, you could do it your self, but closing the transaction gets hairy. Using a broker is like using a real estate agent who knows the ropes and, for a small percentage, will help you secure the best selling price possible.
Domain brokers allow you to list your domain for sale on their web site. Services like AfterNic have built a trusted and popular name in aftermarket domain sales and buyers know to come to them first for the best names and securest transactions. Benefit from their traffic and web space by listing your domain name on their site.
Domain brokers offer in-house escrow services so you can make monetary transactions easily and safely. Since you will probably never meet the buyer it is important to use an escrow service to transfer funds. There are independent escrow services that may be cheaper, but escrow services dedicated to one trusted broker are probably more secure.
Another benefit of 3rd party domain sales is appraisal. If you have not yet had your domain name appraised most domain brokers also offer appraisal services along with their domain listing services.