It allows you to have many different javascript files to separate your code logically, and it automatically compresses them into one file for you for deployment. In this way you don't have to compromise speed for clarity.
If you're interested in advanced JS I highly recommend this book. http://jspro.org/
I really liked _Javascript: The Good Parts_:
http://www.amazon.com/JavaScript-Good-Parts-Douglas-Crockfor...
Particularly because it's purely about style and code organization, and not about the best way to get consistent DOM access between Gecko, WebKit, and IE.
for various reasons i'm not buying the book. i do strongly recommend reading resig's blog posts. some excellent gems there. i've incorporated some great util functions from these posts, for example.
nothing is as good as working with coders who are better than you, tho ;-)
Might Safari Books Online work for you?
http://www.safaribooksonline.com/
I prefer the physical book to reading from a browser, but if the price is right...