Are there any advantages to having more than one character?

No, there's no mechanical benefit to having multiple characters. A few intangible benefits do exist, such as being able to try out the other starting nations' introductory quests, or try out a different race or gender.

Conversely, there are a number of benefits to leveling multiple classes on a single character. Due to the way the cross-class skill system is designed, leveling up multiple classes on a single character is highly beneficial. A character that largely focuses on a single class/job (leveling other classes only to the minimum required to unlock their preferred job) won't have access to important cross-class skills that can be extremely important, especially in higher-level content.

Additionally, when playing on a class that's lower-level than your highest-level class, you receive a 50% bonus to experience gained.

The main reason someone would create a new character is not to experience another class's introductory quests, but because leveling up a new character is significantly more fun than leveling up a new class.

Doing class-quests + hunting logs + unfinished guildquests will get you to about level 22 on a second-class, after which you need to level up by grinding FATEs + guildquests + levequests. Given that level 22 is only about 5% of the total XP you need for level 50, that means you need to earn almost 95% of your experience through tedious grinding.

In contrast, if you create a new character you can level up to 50 mostly through story-quests and side-quests.

Another reason someone might create a second character is to play on a different server (if, for instance, they have friends who already have characters there).