Anonymity. If you only use one adress you can see all Bitcoins going in/out for every user (if you know the adress).
Don't send coins to old adresses on exchanges! They may be reused for other users (-> you made someone very happy
)!
Most exchanges say you can reuse old addresses - i would assume this means they aren't reassigned. It's never been a problem for me. And I don't really care if people know where money is going to...