I had a threaded head set before I upgraded my fork. Now I have threadless. My question is: Why did they ever came up with the idea of threadless, since everyone has one and all new bikes are coming out with threadless, I'm assuming that it's better. What are the advantages?

I'll jump into the fray and hazard an answer.

Threadless headsets are a little lighter and a little stiffer than the old threaded models. They are a bit more finicky to set up (my opinion), but easier to adjust thereafter. The biggest disadvantage to threadless systems is that they don't allow a stem to be raised and lowered as easily as a threaded headset.

Mmmm, I don't know. When I had a threaded it was the opposite. Although the threadless is lighter my threaded was stiffer, and I never did any adjustment on it in 3 years. my threadless needs adjustment after first ride.

Threadless headsets have fewer threaded parts to screw up when assembling. The other reasons are just icing....

I would hazard to say that it's just another way to sell us a new system when the old wasn't broken.

I believe Chater-Lea made a threadless headset in the 1930s. Whats new in the world. Ive even seen a Bates International bike of the same era with an integrated headset (ie hour-glass shaped head-tube).

The biggest advantage of the threadless design is that you can do all the adjustments with a couple of allen keys. For a tourist, this represents a considerable weight-saving in the tool kit.
On threadless systems, the steerer tube of the fork can be made with a thinner wall, and you can use non-ferrous materials such as Al, Ti and carbon. The dimensions of a 1" threaded system is really only suitable for construction in steel.

I like my threadless sytem a hell-of-alot better than the threaded on my old bike.