First, you can save lots and lots of space. For instance, you may have 9 linked Director files which all use the same 640x480 background. Rather than put this background in all 9 movie files; 9*300k = 2.7 MB, (assuming the PICT is 8-bit), stick it once in your SHARED.DIR; 1*300k + 9 references to that pict = 301k-ish; and you can see how much space you've saved already (for the mathematically impaired, that around 2.4 MB). With the slowness of CD-ROMs, this difference is even more pronounced. Everything you can do to minimize the size of your file is critical. For instance, by creating a SHARED.DIR for a project I was working where I had 30 files that were around 400K each, I created a SHARED.DIR (onetime size of around 1.6 mb) and each of my other files were between 48 and 60k. Quite a difference in speed when loading each file and I ended up with a much smaller total overall project size.
Second, suppose you have certain scripts (for instance "go to the frame", "pause", button handlers, etc.) which you use over and over in your other movie files. Why create these scripts individually for each file when you can simply create them once? (fewer total scripts = faster playing) Even though you may be copying and pasting these scripts over and over again into different movies, it's still more efficient to use a SHARED.DIR because you create them ONCE and then they are available instantly in EVERY movie file you have. An additional advantage of this, is the code is more object-oriented (without even having to learn parent-child scripting! :) ).; Let's say that you have a particular handler you use for every button you've created, and that you have 9 movie files which have this button in them. With a SHARED.DIR, if you need to change the properties of that button, all you do is open your SHARED.DIR , modify the handler, and it is instantly updated throughout all 9 movies, ready to use. If you just copied and pasted the script without using a SHARED.DIR, you still gotta go through all 9 movies (one at a time) and find the handler, and change it, save the file, move the next one, repeat...