Double glazed glass has a layer of air at low pressure between the two panes of glass. This helps stop sound and cold air from travelling through.
Triple glazed glad has two layers of air so it acts even better at stopping cold and noise!
As Roma says – it’s because there’s another layer of insulation between the cold/noice outside and the warm/quiet inside.
Other pros are that they’re meant to be harder to break (so would add to home security) and with the house being kept warmer by the insulation it should cost less to heat!