Yes. The benefits are recognition of pregnancy so that you can take care of yourself, switch from a regular multivitamin to a prenatal vitamin, practice early pregnancy do's and avoid don'ts at an earlier time.
Remember, the most critical time in organ development in the baby is the first trimester (first 12 weeks of the pregnancy), and this is where the baby is most susceptible to birth defects.
In addition, if you are a high risk patient, your doctor will want to know as early as possible that you are pregnant so they can monitor and care for you most efficaciously. (patients with prior PID or prior ectopic pregnancies will need to have blood levels taken early and often, accompanied by early ultrasound to document that the pregnancy is not ectopic, and is clearly in the uterus. Women with blood clotting disorders or recurrent miscarraige may need early treatment with blood thinners, etc.).
The down side is the expense of repetetive testing and the anxiety that it can cause. If you test for pregnancy before a missed period, you will pick up chemical pregnancies. This occurs when the sperm does meet the egg and pregnancy is established, but it is not a good pregnancy (most often a chromosomal problem in the embryo) and is lost very early on. Without early testing this cycle may be normal, slightly delayed, or heavier. Up to 50% of pregnancies diagnosed before the missed period end in miscarraige.