Air is 4/5 nitrogen. Pure nitrogen leaks through the rubber a small bit slower than the other 1/5 gases in air. So, if you don't check your tire pressures as often as you should, it's very slightly better. No oxygen, so the inside of the rubber tire doesn't deteriorate as fast - but it makes no difference since the outside, which is exposed to more than just oxygen, is what fails first.
There's nothing bad with filling tires with nitrogen, but it's definitely not worth any additional expense or effort. It's just a marketing gimmick.
