The advantage to a single CSS file is transfer efficiency. Each HTTP request means a HTTP header response for each file requested, and that takes bandwidth.
I serve my CSS as a PHP file with the "text/css" mime type in the HTTP header. This way I can have multiple CSS files on the server side and use PHP includes to push them into a single file when requested by the user. Every modern browser receives the .php file with the CSS code and processes it as a .css file.