Well, I'd say it has some advantages to use the density matrix (I prefer to call it the statistical operator) to define what a quantum-theoretical state is, because it's general and in my opinion simpler than the special case of pure states which are represented by rays (not vectors!) in Hilbert space.
A statistical operator is a positive semi-definite self-adjoint operator ##\hat{\rho}## with ##\mathrm{Tr} \hat{\rho}=1##. It obeys the (picture-independent!) equation of motion
$$\frac{1}{\mathrm{i} \hbar} [\hat{\rho},\hat{H}]+\left (\frac{\partial \hat{\rho}}{\partial t} \right )_{\text{explicit}}=0.$$
It's meaning is the following: If ##A## is an observable, represented by the self-adjoint operator ##\hat{A}## and ##|a,\alpha \rangle## are the eigenvectors of ##\hat{A}## with eigenvalue ##a## then the probability to find the value ##a## when ##A## is measured on a system that is prepared in a state reprsented by ##\hat{\rho}## is given by
$$P_A(a|\hat{\rho})=\sum_{\alpha} \langle a,\alpha|\hat{|rho} a,\alpha \rangle,$$
where, of course, the sum could also be an integral or both a sum and an integral depending on whether there is a continuous and/or discrete set of labels ##\alpha## counting the eigenstates of ##a##.
The expectation value of the observable is given by
$$\langle A \rangle_{\hat{\rho}} = \mathrm{Tr} (\hat{\rho} \hat{A}).$$
A pure state is a special case. Any pure state can be defined as being represented by a projection operator, i.e., in this case ##\hat{\rho}^2=\hat{\rho}##. This equation implies that the eigenvalues of ##\hat{\rho}## can only be 0 and 1. Since ##\mathrm{Tr} \hat{\rho}=1## it can have only precisely one eigenstate ##|\psi \rangle## with the eigenvalue ##1##, and this implies that
$$\hat{\rho}=|\psi \rangle \langle \psi|,$$
where ##|\psi \rangle## is any normalized eigenvector of ##\hat{\rho}##, and by the arguments just given it's defined up to a phase factor, which is irrelevant for physics. That's the great advantage of the statistical operator also in the case pure states: It is uniquely defined, because the arbitrary phase factor cancels in the projector ##|\psi \rangle \langle \psi|##. Of course, the statistical-operator formalism is for pure states equivalent to the usual definition of pure states as being represented by rays in Hilbert space, i.e., normalized Hilbert-space vectors modulo an arbitrary phase.