It's easy to imagine a generalized scenario in which physical transport of a secret message becomes necessary. (This is entirely separate from whatever canon exists specific to Star Wars.)
Assume that you have some secret that is stored on a physical medium -- a removable disk drive, an astromech 'droid, whatever. Assume also that the secret is large (takes a nontrivial time to transmit), and that it cannot be decoded and analyzed in place in any kind of reasonable timeframe.
It may even be that your original plan was to lay low for a while and then try transmitting the data discreetly and anonymously, perhaps routing through some innocuous, neutral third party (an anonymizer, a disposable phone card, Alderaan, etc). But all that needs to happen to ruin that plan is for your initial escape not to come off perfectly, so that the authorities are on your heels and you don't have the opportunity to spend the necessary time with the necessary equipment.
You could try to physically transport your data directly to your relay, but if the pursuit is dogged enough there is a decent chance you will fail to reach them, and you would also end up betraying their role to the authorities. So you might try for a dead drop of some kind -- pack up the data and stash it somewhere to be found by a compatriot whose cover you have reason to believe is still intact. Meanwhile you buy time by running up a white flag and letting yourself be captured empty-handed.
Your compatriot might reasonably figure that if he can manage to slip away from the scene of the handoff disguised as routine traffic, that he will be able to well and truly give the authorities the slip.
At that point, in the case of Star Wars, Obi-wan Kenobi's thinking becomes a little questionable -- if there is a chance that your planned retransmission/relay point (ie Alderaan) has come under close scrutiny as the result of this snafu, you might not want to make directly for it, for fear that it is being watched/blockaded/locked down and that you will be caught if you try to do anything with your secret. This risk is greatly compounded once it becomes clear that you haven't made a clean getaway -- the Empire gets a good long look at the Millennium Falcon as it escapes -- so that although you escape, you have lost all anonymity and will have trouble appearing anywhere without attracting a lot of attention and implicating everyone you come into contact with.
Anyway, maybe Obi-wan figured that of all the places to go Alderaan was still most likely to provide cover or surreptitiously aid in going to ground. Of course once the place was blown up it was clear that the whole gig was up. It would have been smarter of the Empire to hang around with a blockade fleet, or spies to monitor the communication between Alderaan and the rebel base, rather than destroy the planet outright, but as it was their boneheadedness was canceled out by Han Solo's stupidity. Sometimes you get lucky when you don't deserve to.
Presumably, at the very end, Leia no longer trusts any other safe relay point, because she elects to do what she was previously avoiding at all costs, which is go for a straight up delivery direct to her organization's main headquarters. Maybe the idea is that, even if it's being tracked, a fast enough transport gives them lead time to plan, which none of her previous transport options could have.
