Improved (that is, reduced) pressure variation over varying conditions (hence the greater stability), slower rate of pressure loss (as nitrogen molecules are larger than oxygen molecules) and some also say that it results in reduced corrosion on wheels.
Kwikfit/Costco etc offer nitrogen filling now. Not expensive either, something like £1/tyre (though admittedly 20p at the petrol station could give you air for all four, but you know what I mean).
