Of course, a unified state offers obvious benefits. Economic unity often leads to greater prosperity, and a world under one government would likely foster more amicable relations across the globe. But such a utopian vision is unfeasible and impractical.
First, for the world to unify, cooperation would already have to exist. And this prerequisite will never be achieved. Do you really think Israel will ever normalize relations with Iran, whose hardliner president promises to wipe Israel off the face of the Earth? Do you ever think China will reconcile its differences with Tibet and the Dalai Lama? Or North Korea stop bombing South Korea? A world composed of so many fiercely proud nationalities can never peacefully unite.
Even then, if the world shed all political divisions, a world government could never effectively operate. If America, a country with two political parties, suffers from governmental paralysis, how would a world with thousands of parties operate? No party could ever hope to win a majority, let alone pass effective legislation. The world's parliament would be interminably hung, and incessant bickering would produce the world's worst jurisprudential disaster ever.
The closest thing we have to a world government is the United Nations. This organization is notoriously impotent, and nothing ever gets done. The UN's General Assembly has pledged to eliminate poverty, eradicate hunger and curb climate change, but it can never commit itself with concrete, binding plans. It is likely that a unified world would find itself similarly bogged down, falling well short of its lofty intentions.