Why use a using statement with a SqlTransaction?

I've been running into some problems concerning a SqlTransaction I'm using in my code. During my Googling I see many people using a using statement with a SqlTransaction.

What is the benefit and/or difference of using this type of statement with a SqlTransaction?

using (SqlConnection cn = new SqlConnection())
{
     using (SqlTransaction tr = cn.BeginTransaction())
     {
      //some code
      tr.Commit();
     }
}

Currently my code looks like this:

SqlConnection cn = new SqlConnection(ConfigurationManager.AppSettings["T3"]);
cn.Open();
SqlTransaction tr = cn.BeginTransaction();

try
{
     //some code
     tr.Commit();
     cn.Close();
}
catch(Exception ex)
{
      tr.Rollback();
      cn.Close();
      throw ex;
}

What is the advantage of one way over the other?