In PA, they go a bit past the basic Federal annual inspection. Wheels come off to look for excessive hub play, things like that.
Two benefits, from my point of view:
1. Mad mechanical genius caught a couple of issues that could've cost me a bunch of money early (truck had been inspected to FMCSA Annual three time prior to my PA state). He fixed all those issues, and the only one that cost me money was the inner wheel seal.
Yes, the wheel seal would've been caught on a FMCSA Annual. At least, it SHOULD be caught. You all know how involved a truck stop tech gets in inspections.
2. In my experience, a recent PA inspection sticker in the windshield is kinda like a two month Get Out Of Jail Free card in the region. Neighboring states know how serious PA is about annual inspections (PA likes to send undercover cops into inspection stations all over the state to ensure proper procedures are followed), so a recently inspected truck gets a pass in other states as long as there are no visible issues.
Seriously, in the six months I've owned my truck, I have YET to get pulled around back for a "bend over and spread'em" inspection. Worst I've had is a basic paperwork check. Of course, I KNOW I've got another PA state inspection. coming, and years of dealing with state inspections has trained me to fix minor stuff immediately so I don't have to fix all of it all at once. That gets real pricey real fast.