From a strictly stress-strain point of view, thinner spokes will tend to undergo lower amplitude stress cycles as the wheel rotates, goes over bumps, and the axle loads (bike plus rider plus payload) vary from ride to ride. This will yield a longer fatigue life for the rims (in the eyelet area) and the hub flanges, as well as the spokes.
Furthermore, as the wheel incurs small, semi-permanent distortions through use (i.e. prior to a re-truing/retensioning event), thinner spokes will tend to experience less tension unevenness. This will also contribute to a longer fatigue life for the spokes, rims and axles.
In practice, I don't know how measurable these advantages are.