Starting inside helps you get a jump on the season. I'm in zone 7 but we still need to start inside for things like tomato plants.

It also helps you increase your yield because you can overlap starting seedlings while there is something growing in the boxes already.

It's a space / cost tradeoff... can you afford grow lights and do you have space for the lights / trays / fan?

Some things are better started indoors, some things out. Tomatoes, for instance, are going to have to be started indoors if you want them to actually produce fruit. Corn doesn't like to be transplanted and should be started in situ. You can put the seed down for lettuces now, and they'll come up when the conditions are right.

Check with your state's Extension Service. Each county should have it's own Cooperative Extension Office which provides free publications and information for the asking. They will have valuable vegetable/gardening tables available specifically for your area determined by universities, and horticultural research scientists have collected data from growing those crops in your state.

See how detailed these examples are:

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Vegetable Planting and Planning Calendar for Missouri (download the pdf) complete with spring and fall planting dates (underneath the spring planting dates for appropriate crops), how much to plant per person, etc. They can also tell you the average last frost date for your area and ideal planting times for specific crops and varieties in your area.

Here is an excerpt:
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There are many advantages to starting indoors. Getting an earlier start on the season and being able to grow varities that are not available from nurseries. However, if this is your first year of gardening on your own, you may want to start small and easy ( tomatoes maybe ) inside until you get the hang of it. Like alot of hobbies, it is not difficult if you are setup to do it but it can be confusing if you are not. Adequate lighting and a plan for hardening off ( fans and some other tricks )your transplants are 2 of the most important things to setup first.