There are many reputable on-line scanners listed in this pinned BC topic:http://www.bleepingcomputer.com/forums/topic3616.html
There are several reasons for using them.
1. No AV is absolutely guaranteed to detect every known instance of malware, even though many use heuristic algorithms in addition to definitions. On-line scans can increase the possibility of detection, but without the downloading and then updating a second (or third) AV application.
2. Some malware specifically targets resident Anti-viruses, generally with the express purpose of making them inoperable. On-line scans thus avoid this and can detect that malware.
Unless your computer shows signs of infection that your own protective applications cannot resolve, an occasional scan on-line is certainly a smart idea.