Debian uses menu entries to allow all window managers to display the same set of programs in its menu. However, FreeDesktop.org uses different files, desktop files, to achieve the same goal. Many Ubuntu packages add .desktop files, because this allow the programs to be seen directly in the menus of Gnome or KDE, instead of under a "Debian" menu. Also, .desktop files can be translated, while Debian "menu" can't.
Where should .desktop files go ? Upstream ? Debian ?
The ideal place for .desktop files would be upstream. It's not really a good idea to add a .desktop file to Debian, if the Debian maintainer doesn't forward it itself to upstream. (Unnecessary divergence between Debian & Ubuntu is not good, but unnecessary divergence between Debian & upstream isn't better).
.desktop files added by Ubuntu are usually not of an excellent quality (they are not translated, for example).
PS: If you landed on this page using a search, and you wonder where in the filesystem .desktop files go, the answer is /usr/share/applications.