For the average driver, N2 has no advantage and its highly unlikely that you'll ever notice a difference. It can cost quite a bit to switch because the tire will have to be purged a couple times to remove the O2. It's necessary to get the N2 up to about 95% to be effective.
If a tire sets a long time, it will lose less pressure with N2. The molecules are larger than air so they're slower to seep through microscopic holes.
If you really want N2, I've read a number of times that Costco tire shops will switch it for free if you're a member. I've never checked to see, though.
