I have been watching the activity in RStudio and knitr for a while, and have even been using Rmd (R markdown) files in my own work as a way to easily provide commentary on an actual dataset analysis. Yihui has proposed writing papers in markdown and posting them to a blog as a way to host a statistics journal, and lots of people are now using knitr as a way to create reproducible blog posts that include code (including yours truly).
What? For those who don’t know, CDF files are chip definition format files that define which probes belong to which probesets, and are necessary to use any of the standard summarization methods such as RMA, and others.
Why? Because we can, and because custom definitions have been shown to be quite useful. See the information over at Brainarray.
Why not somewhere else? A lot of times other people create custom CDF files based on their own criteria, and make it subsequently available for others to use (see the Brainarray for an example of what some are doing, as well as PlandbAffy)