Socket.BeginConnect vs Socket.Connect

I want to connect to a Socket but I found 2 different connection methods: BeginConnect and Connect. Does anybody knows the difference between the 2? Does BeginConnect require you to call EndConnect as well?

Socket.Connect:http://msdn.microsoft.com/en-us/library/ych8bz3x.aspx

Socket.BeginConnecthttp://msdn.microsoft.com/en-us/library/6aeby4wt%28VS.80%29.aspx

Are there advantages in using one method over the other?