The advantage is that the gas mixture in the canister does not change as it gets used. This means that the gas remains under pressure and the stove continues to work when it is cold until the canister is empty.
It does not use any extra fuel.
Take a look at a couple of articles:
http://www.backpackinglight.com/cgi-bin/backpackinglight/effect_of_cold_on_gas_canisters.html
