im still new to the whole turbo stuff.
i was just reading up on the watsegate, and it said that the exhaust part can be let out straight into the atmosphere, or it can be routed into the exhuast system.

i was just wondering if there are any advantages or disadvantages into just letting it in the air, rather then going into the exhaust.
is there a sound difference? if so, does it sound terrible?

There is a huge sound differance. I have a 3" exhaust on my car with a Flowmaster 10 series. When I had the WG dump i couldnt hear the regular exhaust. It was loud and I loved it, but it was to loud for everyone else. I probably lost some power by tying the WG into the DP but it was a hasty modification and a very poor design connection.