Very good question...
"sudo gedit" and "gksu gedit" are pretty much the same... with sudo you'll have to write the password in the console before gedit opens.. with gksu it might come up as a dialog box before gedit opens... so it's more or less the same stuff.
The REAL advantage of gksu is when you want to get your console back...
If you type "sudo gedit &" the "&" bit gives you the console back.. and you don't get the opportunity to type the password for sudo.. so gedit simply doesn't open
To solve this problem you replace it with "gksu gedit &". This way your console is freed, and the password dialog box is there as well.
Same goes for kdesu.