what advantages does opera mini give ?
I just installed it and wonder why i should use it instead of my normal browser ...

It loads pages much faster while making them look nicer. Opera utilizes a TCP connection, which is always much faster than the BB browser's proprietary BIS-B connection. I suppose your results may vary, but using a program called BerrySpeedy (you can search the aftermarket forum if you like) yields that TCP is usually multiple times faster than BIS-B.

We are on a BES, so not BIS (didnt tell before sorry) .
Isnt there a security risk with opening a new connection (HTTP and Sockets) to Opera ?

Wirelessly posted (Verizon 8830)

Its as open as any other browser. For certain functions, such as downloading, you must use the native browser.

Opera Mini is just another altenative for a web browser, has more of a "desktop" feel.

My main use for Opera is to download podcasts/large files/movies directly to my Media Card.

Wirelessly posted

Well let's see it allows you to get on websites that the BB browser has to try to adadpt the page for the mobile device. So far with opera mini I haven't had a problem getting on websites

I ask why there is no other competition?

There is competition on other Java-capable devices, just none for the Blackberry. UCWeb is another java-based web browser (that I read is freakin' awesome, with tabbed browsing, download management, etc) but it hasn't been ported to the Berry yet. It's the most popular mobile web browser in China. There are english-language builds for other devices out.