What evolutionary process lead to so much variation in MHC? What is the advantage of having such variation?
Here are two free articles that go into the subject very nicely, I think:
The MHC loci are the single most important determinant of our immune system's response to foreign invaders and are absolutely necessary for discrimination between self and non-self. Because of the massive diversity amongst those pathogens, no one single MHC allele will allow the best response. For example, the delta-32 deletion that bears resistance to HIV also increases susceptibility to West Nile; if you're more likely to suffer from the latter, that is a fitness reduction that could be selected against. Thus, more alleles will survive in the population as all can be advantageous. This is called balancing selection.
Additionally, the microbial invaders mutate and evolve much, much faster than our genome does, so you want to have the greatest breadth of MHC present in the population and in an individual in order to maximize resistance to whatever may arise. At a population level, it is also advantageous because it means that the entire populace won't succumb to a certain infection. If everyone has similar alleles one virus could wipe everyone out; we observe something similar happen with our crops, for example, when grown in massive monocultures. There is also a fair amount of evidence, mainly in humans and mice I believe, supporting a role for MHC in mate selection. Individuals seem to find potential mates with different MHC alleles more attractive, presumably to maximize the fitness of their offspring.
MHC is an absolutely fascinating subject (I'm researching it at the moment!).