What do you do when you have sinned? Well, we sin every day and aren't too terribly bothered by all of them, especially considering how many times we sin in ignorance. But you know... there are those sins that are particularly destructive and/or prove to be a habitual snare. What do you do after you fall in that way? How do you dust yourself off and get up?
If you truly hate your sin and don't want to do it, you will feel terrible. You will feel guilty and ashamed. You may even feel depressed because you thought you had a handle on it, but then you fell again. The temptation is to beat on yourself. The temptation is to avoid the cross of Christ, or at least to avoid it until you have sufficiently atoned for your sin by self-abasement and self-torture. The temptation is to run from God instead of toward Him. If you do run to Him at all, it is to torture yourself in His presence by trying to show Him how sorry you are while secretly resenting Him for not helping you just annihilate this sin once and for all.
Why not go to the cross? Well, I'm sure there are many reasons. But one of the main ones is because we do not want let ourselves off the hook easy. Because the old Adam in us is a died-in-the-wool legalist, we are still under the impression that applying grace to sin will produce laziness and a non-chalant attitude. But really, there are only two options when it comes to this. You will either go to the cross with your sin (which need not be some grand, ornate process or ritual), or you will seek to torture yourself for it in a myriad of ways.
What's so bad about self-atonement? Well, first of all it doesn't work. Law (punishment, condemnation) does not change your heart. It can't. You might be able to temporarily restrain your external behavior with fear and guilt, but it won't change your heart and produce real character.
Also, in more pragmatic and secular terms, it is generally understood that self-condemnation becomes a mechanism for people to only continue in their destructive patterns. It blows off a little steam, but just enough to avoid facing what is underneath the covers and therefore continue in the cycle of self-destruction: compulsive/destructive act, then self-punishment, then momentary reprieve, then tension builds inside again, then compulsive/destructive act, then self-punishment, etc.
Self-atonement is also anti-relational. Human beings have a real knack for going all self-reliant when we experience internal crisis. Self-atonement is a form of flight -escape from the eyes of other, from help, from community, from fellowship and intimacy with God.
But the big reason why self-punishment isn't the way to go is because it is not of faith, and hence it mocks the Gospel. It takes faith, not laziness, to know you have sinned, hate it, and still go to the cross of Christ, leaving your sin there and all of your desires to self-punish, trusting instead in the punishment He took in your place. Such faith changes us. It doesn't leave us as we were.
It doesn't take faith to just say, "Well God forgives... so cool." It doesn't take faith to believe that it is just God's job to overlook our sin, not really care about it, and then sweep it under the rug. But that isn't going to the cross. That isn't going to the real God, the God of the Gospel of Jesus Christ. That is going to a god of our imagination: the wrinkly, old, senile, doting grandfather in the sky who used to be really mad about sin, back in the day, but has learned to relax in his old age and not take things so seriously. That isn't going to the cross, and that isn't faith.
No, the cross is wholly different. At the cross your sin is exposed for what it is. Going to the cross fully simultaneously admits fully to what your sin really deserves. It is to open yourself to the eye of God, transparently. It puts your self fully in His hands. In other words, truly going to the cross never treats your sin lightly. After all, seeing Jesus dead for your sin means your sin is a very, very big deal. You can't hide behind excuses and rationalizations and self-flattery and delusions of moral superiority at the cross. But it is here, at the cross, that doing so is safe, because it is here at the cross that admitting your sin transparently and fully is met with welcome and peace and shalom and love and acquittal and forgiveness and acceptance and justification and reconciliation and restoration. It is at the cross where you see the guilt of your sin swallowed up and done away with.
It takes faith to go to the cross, because it takes faith in God's promise of the Gospel, promise of the cross, to know that being exposed there in our sinful totality will be met with satisfaction, forgiveness, and embrace rather than condemnation and rejection and fire.