I think because its easier in code to read in values from it because there are built in functions to obtain data from the app.config file.

like
Dim MyConnString as string = ConfigurationSettings.AppSettings("SQLConnString")

where the app.config looks something like this
<appSettings>
<add key="SQLConnString" value="ConnectionStringHere"/>
</appSettings>

I wrote all that freehand.. so it might take some modification to actually work.. but u should get the idea zak