BGP is only necessary to advertise large blocks of provider independent address space. It would still go through your provider's routers however, with appropriate BGP filtering, unless you managed to use some kind of tunneling system. Unless you had a large block of provider independent space and were physically multi-homed to multiple providers, using BGP is more likely to cause problems than help. If you do not connect to multiple ISPs there is not really any reason to use BGP at all.
