Can I invade a world with a friend? If yes, how?
Short answer is no. You can only invade a world alone. BUT, if you're a member of the Covenant the Way of the Blue, it is possible for another member of this covenant to help you when you're being invaded.
Advantages of playing online with the possibility of invade and being invaded?
There's actually a lot of advantages to online play!
PvP adds a huge thrill to your game. Being invaded can be quite annoying, especially if you're on some really hard monsters and you get killed. But, killing an invader is very satisfying and invading people yourself is alot of fun, too!
Online play adds co-op. This can be very useful for hard bosses, or just to have some fun with your friend(s).
Markers will be placed all over the world. They're placed by other players, usually with hints, tips or sometimes you can see how they died so you won't make the same mistake.
If you're having trouble with invaders in a certain area, try burning a Human Effigy. This is only possible with online play enabled and it will temporarily make you immune for invasions.