Wands are used for directing energy - which has already been stated. They can be made of wood, metal, gemstones and even certain types of seashells can be used. A lot of witches use them to cast circle and direct the energies of a spell or ritual working. Then can also be used to direct healing energy like the ones people design for working with the chakras. The wand has a lot of use but it can also be substituted for the athame in use and on the altar. Wands are associated with the element air and sometimes fire depending on tradition. Therefore it can be used to represent the element on the altar. It is also a symbol of the male aspect in the tools common on the witch's altar. Because of this it can be used for the symbolic version of the "great rite" instead of the athame.
The main advantage of a wand is that you can customize it. Traditionally a wand is the length from your middle finger to your elbow, but not everyone goes by that anymore. Woods can be picked by properties allowing for customizing it to certain Sabbats or ritual use. Plus making your own wand allows it to be more in tune with your energies creating a better connection between witch and tool. Adding decorative pieces like gemstones, feathers, ribbons, wood burned designs, copper wire and etc will also aid in creating the wand to work more in a manner you wish.
The disadvantages include that if they are made of natural materials like gemstones and wood, they can break. I've known people who have sat on their wooden handmade wands causing them to snap. Or a small gemstone wand can get knocked off the altar and fall to the ground shattering into pieces. And then there is an issue with some people just feel silly holding a wand as it makes them feel like they are playing make believe instead of dealing with real magick.
For more on wands check out www.witchschool.com as they have a free lesson on wands you can sign up for. Its not the greatest, but it does have some good info. But even better is "Wandlore: The Art of Crafting the Ultimate Magical Tool" by Alferian Gwydion MacLir. I was very happy to see when this book came out as wands have always fascinated me.
Good luck on learning more about wands!