The advantage is that the whole ball is less likely to unwind if you drop it (you can tie in the outside end), but as Brenda says, it does collapse a bit when you get near the end.
If you wind your own balls from big skeins, it's easy to get it do this, and to come out easily! To start, make a few loops over your hand, then holding the bunch of loops with the free end sticking out, start winding the ball this way and that over the loops, always making sure the free end is sticking out. When you are done, pull the free end (or the whole bunch of loops) out from the middle and it will come out easily from the centre. I'm not sure it always woks so well with commercial balls that aren't made to do that.