Recursive types?

I'm having trouble understanding recursive types (e.g., as described in Functional Programming with Overloading and Higher-Order Polymorphism by Jones. He gives as an example

data Mu f = In (f (Mu f))

data NatF s = Zero | Succ s type Nat = Mu NatF

Among the things I don't get are: 1. Comparing this to the non-higher-order type:

data NatX = Zero | Succ NatX

What are the advantages of the higher-order type? What are the disadvantages (incl. runtime costs)? 2. How are values of type Nat represented? (It helps me to think about these things concretely.) Thanks! -- Dave