SET and MERGE statements in SAS allow combining and joining multiple datasets in an easy and flexible way. SET is used to vertically concatenate datasets, while MERGE performs horizontal joins. Both statements can handle multiple datasets at once. They provide advantages over other methods like PROC APPEND and SQL joins by offering simpler code and the ability to work with more than two datasets simultaneously. However, care must be taken when using SET and MERGE due to the risk of generating incorrect results if used improperly.