same reason why some guys use nitrogen rather than Co2 in their paintball guns. in cold weather, you get serious pressure drops in compressed air bottles, that's why paintball players who play in winter will only run nitrogen.
In a tire, in cold weather, your tire pressure will drop, because the air in your tires will become denser, and all the molecules in the air will huddle closer together when it gets close to the freezing point outside, the air in the tire begins to reach it's condensation point. If you run nitrogen in your tires, your tire pressure will remain consistent, even in cold temperatures, because the condensation point of nitrogen gas is much, much lower than that of the atmosphere. Not a bad idea if you live in cold climates, like here in illinois. Oh yea, one more thing, it also needs to get hotter to expand, unlike normal compressed air, so after lots of hard driving, when you're tire pressure will gennerally go up, nitrogen will stay stable, and maintain correct tire pressures.
to sum it all up, nitrogen maintains tire pressures properly in all temperatures and conditions. Great for extreme driving and extreme temperatures, but not for everyone, especially if compressed nitrogen is not readily available.