I read this excellent tutorial (http://blogs.planbsoftware.co.nz/?p=247) about NserviceBus Sagas, but still I don't understand what is the advantage of this model (sagas), over using database or business layer transactions?
The main benefit of the saga model is that it allows you to take logic and data that would otherwise be spread out across a system (and various batch jobs), and pull that all into a single class, better following the single responsibility principle. Once you have that, you get all the other benefits that come from good software practices - better testability, maintainability, etc.