Are items better if smithed there?

No, but there are a few items that can only be smithed there.

Do you know which?

After completion of the Companions questline, you can smith Ancient Nord Armor and Nord Hero Weapons at the http://www.uesp.net/wiki/Skyrim:Skyforge. (link includes info on them)

And don't forget the full set of Wolf Armor you can buy at the Skyforge right after you join the Companions (no need to finish their questline).

http://elderscrolls.wikia.com/wiki/Wolf_Armor

Wolf Armor has the same stats as Steel Armor but weights much less. Also important, it can be bought and improved at Level 1 without any additional perks.

And don't forget what Wolf Armor does to the Female Figure.

awwwwwwyeeaaaaaahhhhh......

You mean like this?
http://sirandy.org/skyrim/ScreenShot408.png