Baking Tips

I’m designing a video game and was given good advice to use the baking feature. I know it has its perks, and I brushed the surface of baking in the past but never delved too deep into it. Models are made in Blender but I’ll be exporting them into Unreal. 2 part question really:

  1. What is the purpose of baking and its benefits?
  2. Can/ should baking be done in Unreal? Or is this best left to Blender?