There are many reasons to Short Sale your property instead of just letting it go to Foreclosure. I will list a few below:
1) Save your credit from total destruction:
with foreclosure it is ruined for 10years
with a short sale you might at least be able to rebuild with 2 years or so with solid credit building.
2) If a primary residence the difference from what is owed to what the bank will take may be forgiven by the IRS
It is critical to consult your accountant since there are differences if you refinanced your property during your ownership.
3) If you let your house just go to foreclosure then you might regret not trying to save your credit.
4) By doing a short sale you are also helping to stimulate the economy sooner since a foreclosed home may take longer to come back on the market. This one might be a bit of a stretch but I believe there is validity to it.