I want to use RGB LED with arduino, and I would like to know if there is any difference between common cathode and common anode RGB LED beside how you set it up. And is there any advantage of one over other?
With common-anode, your logic is inverted. If you have one connected to a pin, writing a HIGH to that pin actually turn the LED off, and a LOW turns it on.
Besides that, I don't see any other kind of advantage/disadvantage on one or the other.
There are a few RGB LEDs that bring out all the anodes and cathodes separately, but these are usually surface-mount - shame this isn't the standard way of doing things (you can stack them in series which isn't possible with the other types).