Newbie question - Droid X2 OS v# ?????
The updates can sometimes be done over the air, but my phones (both versions of the Xperia) required a physical connection to my PC via USB.
There are ways in which you can upgrade your phone "unoficially," but unlike with PC, there are often root-level restrictions to prevent you from doing this. Getting around those restrictions is possible, but way out of the scope of this response.
As for what's to gain... well, as with a PC, that depends upon your phone and what it can handle. Newer versions of Android generally come with bug fixes an...