Single-cell organisms, such as bacteria and protozoa, have been so successful in adapting to a variety of different environments that they comprise more than half of the total biomass on earth. Unlike animals, many of these unicellular organisms can synthesize all of the substances they need from a few simple nutrients, and some of them divide more than once every hour. What, then, was the selective advantage that led to the evolution of multicellular organisms?

A short answer is that by collaboration and by division of labor it becomes possible to exploit resources that no single cell could utilize so well. This principle, applying at first to simple associations of cells, has been taken to an extreme in the multicellular organisms we see today. Multicellularity enables a plant, for example, to become physically large; to have roots in the ground, where one set of cells can take up water and nutrients; and to have leaves in the air, where another set of cells can efficiently capture radiant energy from the sun. Specialized cells in the stem of the plant form channels for transporting water and nutrients between the roots and the leaves. Yet another set of specialized cells forms a layer of epidermis to prevent water loss and to provide a protected internal environment (see Panel 1-2, pp. 28-29). The plant as a whole does not compete directly with unicellular organisms for its ecological niche; it has found a radically different way to survive and propagate.

http://www.ncbi.nlm.nih.gov/books/NBK28332/

Single-cell organisms, such as bacteria and protozoa, have been so successful in adapting to a variety of different environments that they comprise more than half of the total biomass on earth.

Replace cell by individuals, and you will see that the same holds true.  Individuals are extremely adaptable, yet, they benefit in forming clans and communities to exploit better ressources around them.

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Yes, we know this, and we know that single-cell organisms also form colonies. But the questions remains, what advantage is there, in terms of increasing its chances for reproduction, for that single-cell organism to become a multi-cell organism? From observing our world, it would appear that single-celled organisms have a distinct advantage over multi-cell organisms when it comes to reproduction, since they require less nutrients and can reproduce at an amazing rate. Also, unlike multi-cell organisms, most (all?) single-cell organisms can reproduce asɛҳuąƖly, which makes it even easier for them to reproduce.

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Also, you misunderstand evolutionary theory.  It does not state that evolution occurs to profit from an advantage.  Genetic alterations occur at random and only those random changes that are beneficial are rewarded with better chances to reproduce.

Again, what would be the benefit of becoming a multi-celled organism, since it seems that single-cell organisms are the best able to adapt to new environments and are best able to reproduce themselves? Why would nature, then, favour multi-cellular organisms, and in such abundance?