There are little hairs in the nose designed to filter out air born particles, which are the trapped in the mucus and removed when you blow your nose for one.
But the main reason I breath through the nose is because it's easier to breath into your 'belly' that way.
And by belly I mean the deeper more meditative type of breathing referred to as Belly Breathing which feels like you are breathing into the lower belly region of your body.
I wrote this hub on the subject infact: http://hubpages.com/health/Do-You-know-how-to-Brea...
Most of the recommended meditation breathing seems to be, breathing in through the nose and then out through the mouth...but I often just use the nose for both in and out.