There comes a point in circular knitting that there's no circular needle small enough. The little alpaca I knit comes to mind. The neck is only an inch in diameter. You couldn't knit that on a circular needle.
Dpns are not that hard. In fact, it had been a while since I used them, but when I used them on the alpaca I remembered how not-hard they are. Many people prefer them.
There is also the option of knitting circular things on two needles, or using magic loop. I usually use the 2 needles, but for something really small, I think I'll stick to dpns and avoid all the cables hanging and having to switch around too much.
Someone said Silver's sock tutorial has excellent picures of how to use dpns.