In-camera B&W is JPEG, so many decisions are already made for you, which is considered a Bad Thing for serious digital photography (much of the time). You generally want to shoot RAW so that you can later convert to B&W or fix white balance, or whatever. I use Nik Silver Efex to do digital B&W conversions. I even use it on my scanned B&W film negatives to do split-toning and other adjustments.
On the other hand, you might like to experiment with shooting in the B&W mode of the camera for convenience, and to provide a creative constraint (constraints can sometimes be good things). For example, I kind of like the medium contrast B&W setting on my M8 and may choose to use it for certain occasions, though I usually convert RAW files. There are no rules.