Explain W4 allowances to me with regards to taxes?

Hello, I understand that on the W4 the lower the "allowances" you have the more taxes get taken out of your check and thus you get less take home pay.  Thus you have two options:

   - if you want more take home pay, but will have to pay more taxes on your tax return then claim as many allowances as you can- And if you want less take home pay so you will have less taxes to pay on your tax return then claim no allowancesMy question is, it is really that simple. . . or is there any other benefit I am missing?  We traditionally claim 0 allowances so we have less take home pay but don't have to pay taxes at the end of the year. . . . but I am wondering if it is not smarter to claim the allowances, and just set aside money each check. . . draw interest all year. . . and know you will have to pay taxes at the end of the year?Thanks for any advice/feedback.