Some practical things could become more efficient with a one-world government. No trade barriers, less military conflict, no more environmental tragedy of the commons.
There's two reasons not to like it. The first is self interest. For obvious reasons, most people in rich countries don't want to be in one common pot with people in poor countries and have everyone's prosperity and problems even out. The global average would improve but it's not in the interest of the average first world voter.
The second is representation. This is the real problem and the reason why the League of Nations failed and the UN has little power. Say that everyone put aside their differences and joined a magic global democracy with fair elections everywhere, would that be a good thing? Well, I'd love to see a global opinion poll on this question: "Should a wife be obedient to her husband"?. I think 80-90% "Yes" is the likely result of that poll. Is global democracy still a good idea? The world is filled with people with radically different cultures and values and interests, and throwing them all together would not lead to a happy result. Unions only succeed when people have almost identical values and a single identity. To have a global democratic government, you'd need a global monoculture.