Hi Jim
I'm waiting in today for my first set of bellows pipes to be delivered! Prior to this I've spent many year playing the big things and several more with a mouth blown set of small pipes. If you've not played before and are learning completely from scratch I'd say there is a fair bit of merit in keeping everything cheap and cheerfull until you've really started to get to grips with the fingering technique and have started to get a few tunes under your belt.
When it comes to differences and advantages as I see it these are some of the considerations between bellows and mouth blown:
You'll learn loads more about reeds if you get to grips with mouth blown pipes mainly because you'll have to spend so much of your time setting the damn things up! This is either a boon to future development or a crippling handicap dependent on luck, who you've got around to guide and your ability to put up with dodgy notes when learning.
Dry reeds in a bellows pipe are generally more stable in tone and less faff, they also mean that you can get away from reeds that are made from yogurt carton or some such. Bellows pipes from a GOOD maker will generally have more projection and better tone than a mouth blown set because of this. Having said that a quick trip around the web will provide plenty of examples that might suggest different and reveals many a bellows piper sounding more like budding apiarist than musician.
My smallpipes, although driving me mad with the constant battle against the basically rotten reed set up, did provide many, many hours of pleasure and the chance for me to spread my wings and play with other musicians in a way that the GBH pipes don't. I'm looking forward to having a more stable and tonal instrument to continue this when the bellows pipes turn up.
If you want to hear what a good player can do with a set of mouth blown and bellows blown smallpipes respectively I'd suggest check out the Shepherd bagpipes sound page then listen to Gary West.