Read Functional Programming in a Nutshell.
There are lots of advantages to stateless programming, not least of which is dramatically multithreaded and concurrent code. To put it bluntly, mutable state is enemy of multithreaded code. If values are immutable by default, programmers don't need to worry about one thread mutating the value of shared state between two threads, so it eliminates a whole class of multithreading bugs related to race conditions. Since there are no race conditions, there's no reason to use locks either, so immutability eliminates another whole class of bugs related to deadlocks as well.
That's the big reason why functional programming matters, and probably the best one for jumping on the functional programming train. There are also lots of other benefits, including simplified debugging (i.e. functions are pure and do not mutate state in other parts of an application), more terse and expressive code, less boilerplate code compared to languages which are heavily dependent on design patterns, and the compiler can more aggressively optimize your code.
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