First off, we LOVE clicker training, so this is a totally unbiased view!
1. Are there advantages to clicker training?
Yes, dogs who become clicker savvy (those who train with clickers alot) learn new things very fast! And it does help with a dog's confidence. And you can teach just about anything that a dog can physically do.
2. Does it really work better then treats alone, and why?
A clicker gives a clear consistent signal that marks the behaviour you want. Your "Yes!" or "good!" or other verbal marker will change based on the tone of your voice - it's never really the same. Because the click is always consistent, dogs pick up what you want faster. It's also short and punchy, which makes the point you mark, very precise. Great for shaping. I also find that my hand eye coordination is better than my mouth eye coordination!

Must be all those video games!
3. How do YOU train with a clicker? different methods? How do you go about starting with it? Do you use treats along with the clicker? etc...
There are 3 different methods to train with a clicker - shaping, luring and capturing.
Shaping is where you click and reward small movements towards the larger behaviour you're looking for. For example, if you want a dog to go lie down on a mat, you'd click if the dog looks at the mat, then if it takes a step towards it, when it sits, and finally when it lies down, and all the little behaviours between that go towards the final act of going to and lying down on the mat.
Luring is where you hold a treat and manipulate the dog around when they follow the treat in your hand.
Capturing is when your dog happens to be doing something you want to put on cue, and you click it. For example, if you dog yawns, and you'd love to put yawning on cue, you'd carry your clicker and treats around and wait for your dog to decide to yawn, and you'd click it and reward the dog.
I do mostly shaping and luring. I have only captured behaviours a handful of times!
I do use treats, small soft ones that are easily swallowed and don't need much chewing motion so that the training can move quickly.
I started off with the book "Clicking with your Dog". It showed me how I could train while watching tv, in the loo (I haven't!), doing other things, so easily! It's a great starter book. Then I moved on to 101 Dog Tricks which has a ton of stuff that you could teach your dog!
Incidentally there are a few different types of clickers around. I started off with a fairly loud one, but have moved on to a softer one. Something to consider depending on how shy your dog is.
Also, there are a couple of concepts that you'll need to learn and do to ensure that the dog will do the behaviour without food (coz that's the main problem people seem to have with clicker training with food). One is to fade food and the clicker, and the other is to reward inconsistently once the behaviour has been learnt.
4. Is it worth doing?
Yes, yes and YES! Other than being a great training tool, I found that clicker training made me realize that I could train so many things with my dog. I don't know what it is, and it sounds kinda silly, but had I not done clicker training, I think I would have just trained normal things like obedience stuff and shake paws. But now, Romeo can take tissue when I sneeze and Juliet can crawl under Romeo's belly when I tell her to!
5. What tricks/commands do you teach and how? - there are a lot of things i want to teach him, but i just dont know how to go about doing it.
Any tips or other advice would be muchly appreciated.
Lots of stuff on youtube - we love kikopup. She's an inspiration!! Kyra Sundance (and her 101 dog tricks book) is also great.
You really can teach just about anything with a clicker. From useless but entertaining tricks to show off to your friends, to more helpful things, like putting toys away and closing doors, to agility and other dog sports. Limited by your imagination!