What are the benefits of therapy over medication to treat depression?

Possibly several. No physical side effects. No withdrawal/discontinuation symptoms. No interactions with other meds. Therapy offers tools to tackle depression if it returns while medication only works while you take it. On the other hand, meds may relieve symptoms faster ; less expensively. No need to choose though: therapy ; meds together often work best.
Depends. In my practice, I do both psychotherapy and medication treatment. I have found that for most people, engaging in psychotherapy is not what they want, takes a long time, is anxiety provoking, and expensive. I believe it is worth it, but most people are not psychologically minded enough to fully benefit from psychotherapy. If you are, then it depends on the cause of your depression and severity.