I am working with GSEA analysis and have a basic question regarding probe sets.

so, why are there multiple probes with the same gene? Some probe sets have only one(and the same gene), if it's exactly the same gene what benefit does it provide us?

Thanks in advance.

That's a good question, and the only people who really know either work for or used to work for Affymetrix. We can infer some possible reasons though.

There can be any number of reasons to put multiple probesets on an array. It may be that the different probesets are intended to measure different splice variants. Or it may be that Affy wasn't sure which probeset did a better job of measuring a given gene's transcript(s). Depending on the array, some of the probesets may have been intended to measure (what was thought at the time) different genes (or ESTs) that later were found to be the same thing, and were combined. I imagine there are other possible reasons that I haven't thought of as well.