Another good reason for hand-rolling your smokes is that you generally know what goes into them. Commonly, manufactured ciggies have a wide variety of ingredients, either to produce a different taste, or to make the cigarette burn better. Generally speaking, hand-rolling tobaccos do not have as many of these additional ingredients, and contain more by way of tobacco.
Whether this is a good thing or bad, I cannot say, being unfamiliar with the potential long-term effects of these nasty-sounding chemicals. From my own experience, however, I know that when I first began rolling my own, as opposed to buying fags (a UK term, you understand), I had fewer sore throats, coughed less, and did not suffer the 'tight chest' I used to.
Now I'm not going to stand up and say "handrolling is healthier for you". No, because I'm not qualified to say that. (If anyone out there is, and wants to /msg me, I'll be grateful.) In addition to my own experience, though, many of my friends and colleagues have said the same. Whether this is down purely to the 'purer' cigarette, or the fact that we may smoke less (as it takes time and thought to roll one, as opposed to pulling one out of a packet), I cannot say.
A complete list of various ingredients is given below, and most manufacturers' web sites also now give the ingredients. You might also note that nicotine might not be the most harmful ingredient of tobacco.
Acetanisole,   Acetic Acid,   Acetoin,   Acetophenone,   6-Acetoxydihydrotheaspirane,   2-Acetyl-3- Ethylpyrazine,   2-Acetyl-5-Methylfuran,   Acetylpyrazine,   2-Acetylpyridine,   3-Acetylpyridine,   2-Acetylthiazole,   Aconitic Acid,   dl-Alanine,   Alfalfa Extract,   Allspice Extract,   Oleoresin and Oil,   Allyl Hexanoate,   Allyl Ionone,   Almond Bitter Oil,   Ambergris Tincture,   Ammonia,   Ammonium Bicarbonate,   Ammonium Hydroxide,   Ammonium Phosphate Dibasic,   Ammonium Sulfide,   Amyl Alcohol,   Amyl Butyrate,   Amyl Formate,   Amyl Octanoate,   alpha-Amylcinnamaldehyde,   Amyris Oil,   trans-Anethole,   Angelica Root Extract, Oil and Seed Oil,   Anise,   Anise Star Extract and Oils,   Anisyl Acetate,   Anisyl Alcohol,   Anisyl Formate,   Anisyl Phenylacetate,   Apple Juice Concentrate, extract and Skins,   Apricot Extract and Juice Concentrate,   1-Arginine,   Asafetida Fluid Extract And Oil,   Ascorbic Acid,   1-Asparagine Monohydrate,   1-Aspartic Acid,   Balsam Peru and Oil,   Basil Oil,   Bay Leaf Oil and Sweet Oil,   Beeswax White,   Beet Juice Concentrate,   Benzaldehyde,Benzaldehyde Glyceryl Acetal,   Benzoic Acid,   Benzoin,   Benzoin Resin,   Benzophenone,   Benzyl Alcohol,   Benzyl Benzoate,   Benzyl Butyrate,   Benzyl Cinnamate,   Benzyl Propionate,   Benzyl Salicylate,   Bergamot Oil,   Bisabolene,   Black Currant Buds Absolute,   Borneol,   Bornyl Acetate,   Buchu Leaf Oil,   1,3-Butanediol,   2,3-Butanedione,   1-Butanol,   2-Butanone,   4(2-Butenylidene)-3,5,5-Trimethyl-2-Cyclohexen-1-One,   Butter,   Butter Esters,   Butter Oil,   Butyl Acetate,   Butyl Butyrate,   Butyl Butyryl Lactate,   Butyl Isovalerate,   Butyl Phenylacetate,   Butyl Undecylenate,   3-Butylidenephthalide,   Butyric Acid,   Cadinene,   Caffeine,   Calcium Carbonate,   Camphene,   Cananga Oil,   Capsicum Oleoresin,   Caramel Color,   Caraway Oil,   Carbon Dioxide,   Cardamom Oleoresin Extract, Seed Oil and Powder,   Carob Bean and Extract,   beta-Carotene,   Carrot Oil,   Carvacrol,   4-Carvomenthenol,   1-Carvone,   beta-Caryophyllene,   beta-Caryophyllene Oxide,   Cascarilla Oil and Bark Extract,   Cassia Bark Oil,   Cassie Absolute and Oil,   Castoreum Extract, Tincture and Absolute,   Cedar Leaf Oil,   Cedarwood Oil Terpenes and Virginiana,   Cedrol,   Celery Seed Extract,   Oleoresin,   Cellulose Fiber,   Chamomile Flower Oil And Extract,   Chicory Extract,   Chocolate,   Cinnamaldehyde,   Cinnamic Acid,   Cinnamon Leaf Oil,   Bark Oil,   and Extract,   Cinnamyl Acetate,   Cinnamyl Alcohol,   Cinnamyl Cinnamate,   Cinnamyl Isovalerate,   Cinnamyl Propionate,   Citral,   Citric Acid,   Citronella Oil,   dl-Citronellol,   Citronellyl Butyrate,   Citronellyl Isobutyrate,   Civet Absolute,   Clary Oil,   Clover Tops,   Red Solid Extract,   Cocoa,   Cocoa Shells,   Extract,   Distillate And Powder,   Coconut Oil,   Coffee,   Cognac White and Green Oil,   Copaiba Oil,   Coriander Extract and Oil,   Corn Oil,   Corn Silk,   Costus Root Oil,   Cubeb Oil,   Cuminaldehyde,   para-Cymene,   1-Cysteine,   Dandelion Root Solid Extract,   Davana Oil,   2-trans,   4-trans-Decadienal,   delta-Decalactone,   gamma-Decalactone,   Decanal,   Decanoic Acid,   1-Decanol,2-Decenal, Dehydromenthofurolactone,   Diethyl Malonate,   Diethyl Sebacate,   2,3-Diethylpyrazine,Dihydro Anethole,   5,7-Dihydro-2-Methylthieno(3,4-D) Pyrimidine,   Dill Seed Oil and Extract,   meta-Dimethoxybenzene,   para-Dimethoxybenzene,   2,6-Dimethoxyphenol,   Dimethyl Succinate,   3,4-Dimethyl-1,2-Cyclopentanedione,   3,5- Dimethyl-1,2-Cyclopentanedione,   3,7-Dimethyl-1,3,6-Octatriene,   4,5-Dimethyl-3-Hydroxy-2,5-Dihydrofuran-2-One,   6,10-Dimethyl-5,9-Undecadien-2-One,   3,7-Dimethyl-6-Octenoic Acid,   2,4-Dimethylacetophenone,   alpha,para-Dimethylbenzyl Alcohol,   alpha,alpha-Dimethylphenethyl Acetate,   alpha,alpha Dimethylphenethyl Butyrate,   2,3-Dimethylpyrazine,2,5-Dimethylpyrazine,   2,6-Dimethylpyrazine,   Dimethyltetrahydrobenzofuranone,   delta-Dodecalactone,   gamma-Dodecalactone,   para-Ethoxybenzaldehyde,   Ethyl 10-Undecenoate,   Ethyl 2-Methylbutyrate,   Ethyl Acetate,   Ethyl Acetoacetate,   Ethyl Alcohol,   Ethyl Benzoate,   Ethyl Butyrate,   Ethyl Cinnamate,   Ethyl Decanoate,   Ethyl Fenchol,   Ethyl Furoate,   Ethyl Heptanoate,   Ethyl Hexanoate,   Ethyl Isovalerate,   Ethyl Lactate,   Ethyl Laurate,   Ethyl Levulinate,   Ethyl Maltol,Ethyl Methyl Phenylglycidate,   Ethyl Myristate,   Ethyl Nonanoate,   Ethyl Octadecanoate,   Ethyl Octanoate,   Ethyl Oleate,   Ethyl Palmitate,   Ethyl Phenylacetate,   Ethyl Propionate,   Ethyl Salicylate,   Ethyl trans-2-Butenoate,   Ethyl Valerate,   Ethyl Vanillin,   2-Ethyl (or Methyl)-(3,5 and 6)-Methoxypyrazine,   2-Ethyl-1-Hexanol,   3-Ethyl -2 -Hydroxy-2-Cyclopenten-1-One,   2-Ethyl-3,   (5 or 6)-Dimethylpyrazine,   5-Ethyl-3-Hydroxy-4-Methyl-2(5H)-Furanone,   2-Ethyl-3-Methylpyrazine,   4-Ethylbenzaldehyde,   4-Ethylguaiacol,   para-Ethylphenol,   3-Ethylpyridine,   Eucalyptol,   Farnesol,   D-Fenchone,   Fennel Sweet Oil,   Fenugreek,   Extract,   Resin,   and Absolute,   Fig Juice Concentrate,   Food Starch Modified,   Furfuryl Mercaptan,   4-(2-Furyl)-3-Buten-2-One,   Galbanum Oil,   Genet Absolute,   Gentian Root Extract,   Geraniol,   Geranium Rose Oil,   Geranyl Acetate,   Geranyl Butyrate,   Geranyl Formate,   Geranyl Isovalerate,   Geranyl Phenylacetate,   Ginger Oil and Oleoresin,   1-Glutamic Acid,   1-Glutamine,   Glycerol,   Glycyrrhizin Ammoniated,   Grape Juice Concentrate,Guaiac Wood Oil,   Guaiacol,   Guar Gum,   2,4-Heptadienal,   gamma-Heptalactone,   Heptanoic Acid,   2-Heptanone,   3-Hepten-2-One,   2-Hepten-4-One,   4-Heptenal,   trans -2-Heptenal,   Heptyl Acetate,   omega-6-Hexadecenlactone,   gamma-Hexalactone,   Hexanal,   Hexanoic Acid,   2-Hexen-1-Ol,   3-Hexen-1-Ol,   cis-3-Hexen-1-Yl Acetate,   2-Hexenal,   3-Hexenoic Acid,   trans-2-Hexenoic Acid,   cis-3-Hexenyl Formate,   Hexyl 2-Methylbutyrate,   Hexyl Acetate,   Hexyl Alcohol,   Hexyl Phenylacetate,   1-Histidine,   Honey,   Hops Oil,   Hydrolyzed Milk Solids,   Hydrolyzed Plant Proteins,   5-Hydroxy-2,4-Decadienoic Acid delta- Lactone,   4-Hydroxy-2,5-Dimethyl-3(2H)-Furanone,   2-Hydroxy-3,5,5-Trimethyl-2-Cyclohexen-1-One,   4-Hydroxy -3-Pentenoic Acid Lactone,   2-Hydroxy-4-Methylbenzaldehyde,   4-Hydroxybutanoic Acid Lactone,   Hydroxycitronellal,   6-Hydroxydihydrotheaspirane,   4-(para-Hydroxyphenyl)-2-Butanone,   Hyssop Oil,   Immortelle Absolute and Extract,   alpha-Ionone,   beta-Ionone,   alpha-Irone,   Isoamyl Acetate,   Isoamyl Benzoate,   Isoamyl Butyrate,   Isoamyl Cinnamate,Isoamyl Formate,   Isoamyl Hexanoate,   Isoamyl Isovalerate,   Isoamyl Octanoate,   Isoamyl Phenylacetate,   Isobornyl Acetate,   Isobutyl Acetate,   Isobutyl Alcohol,   Isobutyl Cinnamate,   Isobutyl Phenylacetate,   Isobutyl Salicylate,   2-Isobutyl-3-Methoxypyrazine,   alpha-Isobutylphenethyl Alcohol,   Isobutyraldehyde,   Isobutyric Acid,   d,l-Isoleucine,   alpha-Isomethylionone,   2-Isopropylphenol,   Isovaleric Acid,   Jasmine Absolute,   Concrete and Oil,   Kola Nut Extract,   Labdanum Absolute and Oleoresin,   Lactic Acid,   Lauric Acid,   Lauric Aldehyde,   Lavandin Oil,   Lavender Oil,   Lemon Oil and Extract,   Lemongrass Oil,   1-Leucine,   Levulinic Acid,   Licorice Root Fluid,   Extract and Powder,   Lime Oil,   Linalool,   Linalool Oxide,   Linalyl Acetate,   Linden Flowers,   Lovage Oil And Extract,   1-Lysine,   Mace Powder,   Extract and Oil,   Magnesium Carbonate,   Malic Acid,   Malt and Malt Extract,   Maltodextrin,   Maltol,   Maltyl Isobutyrate,   Mandarin Oil,   Maple Syrup and Concentrate,   Mate Leaf,   Absolute and Oil,   para-Mentha-8-Thiol-3-One,   Menthol,   Menthone,Menthyl Acetate,   dl-Methionine,   Methoprene,   2-Methoxy-4-Methylphenol,   2-Methoxy-4-Vinylphenol,   para-Methoxybenzaldehyde,   1-(para-Methoxyphenyl)-1-Penten-3-One,   4-(para-Methoxyphenyl)-2-Butanone,   1-(para-Methoxyphenyl)-2-Propanone,   Methoxypyrazine,   Methyl 2-Furoate,   Methyl 2-Octynoate,   Methyl 2-Pyrrolyl Ketone,   Methyl Anisate,   Methyl Anthranilate,   Methyl Benzoate,   Methyl Cinnamate,   Methyl Dihydrojasmonate,   Methyl Ester of Rosin,   P artially Hydrogenated,   Methyl Isovalerate,   Methyl Linoleate (48%),   Methyl Linolenate (52%) Mixture,   Methyl Naphthyl Ketone,   Methyl Nicotinate,   Methyl Phenylacetate,   Methyl Salicylate,   Methyl Sulfide,   3-Methyl-1-Cyclopentadecanone,   4-Methyl-1-Phenyl-2-Pentanone,   5-Methyl-2-Phenyl-2-Hexenal,   5-Methyl-2-Thiophenecarboxaldehyde,   6-Methyl-3,-5-Heptadien-2-One,   2-Methyl-3-(para-Isopropylphenyl) Propionaldehyde,   5-Methyl-3-Hexen-2-One,   1-Methyl-3Methoxy-4-Isopropylbenzene,   4-Methyl-3-Pentene-2-One,   2-Methyl-4-Phenylbutyraldehyde,   6-Methyl-5-Hepten-2-One,   4-Methyl-5-Thiazoleethanol,4-Methyl-5-Vinylthiazole,   Methyl-alpha-Ionone,   Methyl-trans-2-Butenoic Acid,   4-Methylacetophenone,   para-Methylanisole,   alpha-Methylbenzyl Acetate,   alpha-Methylbenzyl Alcohol,   2-Methylbutyraldehyde,   3-Methylbutyraldehyde,   2-Methylbutyric Acid,   alpha-Methylcinnamaldehyde,   Methylcyclopentenolone,   2-Methylheptanoic Acid,   2-Methylhexanoic Acid,   3-Methylpentanoic Acid,   4-Methylpentanoic Acid,   2-Methylpyrazine,   5-Methylquinoxaline,   2-Methyltetrahydrofuran-3-One,   (Methylthio)Methylpyrazine (Mixture Of Isomers),   3-Methylthiopropionaldehyde,   Methyl 3-Methylthiopropionate,   2-Methylvaleric Acid,   Mimosa Absolute and Extract,   Molasses Extract and Tincture,   Mountain Maple Solid Extract,   Mullein Flowers,   Myristaldehyde,   Myristic Acid,   Myrrh Oil,   beta-Napthyl Ethyl Ether,   Nerol,   Neroli Bigarde Oil,   Nerolidol,   Nona-2-trans,6-cis-Dienal,   2,6-Nonadien-1-Ol,   gamma-Nonalactone,   Nonanal,   Nonanoic Acid,   Nonanone,   trans-2-Nonen-1-Ol,   2-Nonenal,   Nonyl Acetate,   Nutmeg Powder and Oil,   Oak Chips Extract and Oil,Oak Moss Absolute,   9,12-Octadecadienoic Acid (48%) And 9,12,15-Octadecatrienoic Acid (52%),   delta-Octalactone,   gamma-Octalactone,   Octanal,   Octanoic Acid,   1-Octanol,   2-Octanone,   3-Octen-2-One,   1-Octen-3-Ol,   1-Octen-3-Yl Acetate,   2-Octenal,   Octyl Isobutyrate,   Oleic Acid,   Olibanum Oil,   Opoponax Oil And Gum,   Orange Blossoms Water,   Absolute,   and Leaf Absolute,   Orange Oil and Extract,   Origanum Oil,   Orris Concrete Oil and Root Extract,   Palmarosa Oil,   Palmitic Acid,   Parsley Seed Oil,   Patchouli Oil,   omega-Pentadecalactone,   2,3-Pentanedione,   2-Pentanone,   4-Pentenoic Acid,   2-Pentylpyridine,   Pepper Oil,   Black And White,   Peppermint Oil,   Peruvian (Bois De Rose) Oil,   Petitgrain Absolute,   Mandarin Oil and Terpeneless Oil,   alpha-Phellandrene,   2-Phenenthyl Acetate,   Phenenthyl Alcohol,   Phenethyl Butyrate,   Phenethyl Cinnamate,   Phenethyl Isobutyrate,   Phenethyl Isovalerate,   Phenethyl Phenylacetate,   Phenethyl Salicylate,   1-Phenyl-1-Propanol,   3-Phenyl-1-Propanol,   2-Phenyl-2-Butenal,   4-Phenyl-3-Buten-2-Ol,4-Phenyl-3-Buten-2-One,   Phenylacetaldehyde,   Phenylacetic Acid,   1-Phenylalanine,   3-Phenylpropionaldehyde,   3-Phenylpropionic Acid,   3-Phenylpropyl Acetate,   3-Phenylpropyl Cinnamate,   2-(3-Phenylpropyl)Tetrahydrofuran,   Phosphoric Acid,   Pimenta Leaf Oil,   Pine Needle Oil,   Pine Oil,   Scotch,   Pineapple Juice Concentrate,   alpha-Pinene,   beta-Pinene,   D-Piperitone,   Piperonal,   Pipsissewa Leaf Extract,   Plum Juice,   Potassium Sorbate,   1-Proline,   Propenylguaethol,   Propionic Acid,   Propyl Acetate,   Propyl para-Hydroxybenzoate,   Propylene Glycol,   3-Propylidenephthalide,   Prune Juice and Concentrate,   Pyridine,   Pyroligneous Acid And Extract,   Pyrrole,   Pyruvic Acid,   Raisin Juice Concentrate,   Rhodinol,   Rose Absolute and Oil,   Rosemary Oil,   Rum,   Rum Ether,   Rye Extract,   Sage,   Sage Oil,   and Sage Oleoresin,   Salicylaldehyde,   Sandalwood Oil,   Yellow,   Sclareolide,   Skatole,   Smoke Flavor,   Snakeroot Oil,   Sodium Acetate,   Sodium Benzoate,   Sodium Bicarbonate,   Sodium Carbonate,   Sodium Chloride,   Sodium Citrate,   Sodium Hydroxide,Solanone,   Spearmint Oil,   Styrax Extract,   Gum and Oil,   Sucrose Octaacetate,   Sugar Alcohols,   Sugars,   Tagetes Oil,   Tannic Acid,   Tartaric Acid,   Tea Leaf and Absolute,   alpha-Terpineol,   Terpinolene,   Terpinyl Acetate,   5,6,7,8-Tetrahydroquinoxaline,   1,5,5,9-Tetramethyl-13-Oxatricyclo(8.3.0.0(4,9))Tridecane,   2,3,4,5,   and 3,4,5,6-Tetramethylethyl-Cyclohexanone,   2,3,5,6-Tetramethylpyrazine,   Thiamine Hydrochloride,   Thiazole,   1-Threonine,   Thyme Oil,   Thymol,   Tobacco Extracts,   Tochopherols (mixed),   Tolu Balsam Gum and Extract,   Tolualdehydes,   para-Tolyl 3-Methylbutyrate,   para-Tolyl Acetaldehyde,   para-Tolyl Acetate,   para-Tolyl Isobutyrate,   para-Tolyl Phenylacetate,   Triacetin,   2-Tridecanone,   2-Tridecenal,   Triethyl Citrate,   3,5,5-Trimethyl -1-Hexanol,   para,alpha,alpha-Trimethylbenzyl Alcohol,   4-(2,6,6-Trimethylcyclohex-1-Enyl)But-2-En-4-One,   2,6,6-Trimethylcyclohex-2-Ene-1,4-Dione,   2,6,6-Trimethylcyclohexa-1,3-Dienyl Methan,   4-(2,6,6-Trimethylcyclohexa-1,3-Dienyl)But-2-En-4-One,2,2,6-Trimethylcyclohexanone,   2,3,5-Trimethylpyrazine,   1-Tyrosine,   delta-Undercalactone,   gamma-Undecalactone,   Undecanal,   2-Undecanone,   10-Undecenal,   Urea,   Valencene,   Valeraldehyde,   Valerian Root Extract,   Oil and Powder,   Valeric Acid,   gamma-Valerolactone,   Valine,   Vanilla Extract And Oleoresin,   Vanillin,   Veratraldehyde,   Vetiver Oil,   Vinegar,   Violet Leaf Absolute,   Walnut Hull Extract,   Water,   Wheat Extract And Flour,   Wild Cherry Bark Extract,   Wine and Wine Sherry,   Xanthan Gum,   3,4-Xylenol,   Yeast
belgand says re The advantages of hand-rolled cigarettes: It seems like the easier list would simply be to include what they don't put in them. And people ask me why I don't smoke...
http://www.philipmorrisusa.com/company_&_products/tobacco_ingredients.asp?Referrer_ID=138
http://www.altcigs.com/ingredients.html