Look around a bit, lots of people have asked the same questions.

The 2 stage thermostat basically decides if high heat or low is
necessary.
(as opposed to the furnace timing out to high from low)

Depending on the heat loss of a house, you might short cycle
the furnace too often (not good) plus the temp variance would
be noticable (not good either)

Lets say it takes 11 minutes to heat the home from 64 - 66
after 10 the unit kicks into high. Its basically putting the
unit into overdrive and then boom, its off. Over and over
isnt a good thing, plus it wastes energy to boot.

Another advantage is this.... When you have a call
for heat from say 60 - 68 it should go right to high
and then within a 3 degree range (65) it go to low and slow the
heat process down to the desired range. Makes it much more
comfortable.

I have a 2 stage furnace and love it. (Once I had the
thermostat dialed into my preferences)

I personally use Honeywell thermostats (I have the new
touch screen series, its freekin cool lookin) and they served me
well so far. Check out ebay for 2 stage units

Tom