What are the benefits of each method?
Im no audio fool so I cannot speak for one. ignore my alias in that context. ( I spent a year studying this topic in 2008 when it was a hot topic..still is

)
In context of Class-D audio amplifiers. (modulator section)
PWM is simple, old school and just works!, requires a external continuous ref clock typical.. (also the system uses more components and requires a stable clock), from a power efficiency point of view it doesn't use the spread spectrum (fsw is contentious, right up till the output reaches the rails VCC(max), fsw remains constant), and as a result has an inherit inefficiency.
(this is hard for people to digest as PWM by design is an efficient system by context)
Delta Sigma, clock is generated from the pole/zero (integrator order) in the system, uses less components, system uses a spread spectrum (switching events are less as the output reaches VCC(max) approximately fsw/2 ) Also, the system uses pre-feedback (sometimes both pre and post feedback), the feedback taps off the high frequency switching node (see attached image) and injects rf spurious signals into the system resulting in frequencies most comparators cannot handle (resulting in system instability), they require advance network control theory system analysis for proper compensation.
These "types" of systems are easily disturbed when design incorrectly act as an radio antenna/transmitter and interfere with near by radio receivers.
(few can design class-d Delta Sigma modulators correctly)
There are people who favour one over the other and defend their design of modulator, this topic can easily turn into a dog fight.

from a sound point of view, I have no comment, if that what you really asking?, no one will be able to tell the difference in sound between Delta Sigma, PWM or UCD modulators. only audio fools with their alien abilities.

ucd is so far the best topology from an engineering point of view, I would recommend the study of class-d papers by bruno putzeys , I always recommend people who are interested in this topic to follow him he is of few that uses science to formulate prove in the audio community.