Once you start, you'll never want to go back. The advantages are huge.
I intentionally avoided branching under SVN, because every merge required hours of tweaking. Now, I look forward to branching because it works so well. It has made developing new features so much easier.
Furthermore, the ability to work offline is fantastic.
This SO article covers the conversion process in detail (its quite simple). You'll be able to preserve your history, but benefit from a DVCS.
This SO Question deals with DVCS benefits in detail, so I'll mention a Mercurial specific advantage. If you use a GUI like TortoiseSvn, you'll be pleasantly surprised by TortoiseHg. This app is continually improved and makes it very easy to view your pending changes and historical changes. It took a while to get to this level of quality, but now, I hate using TortoiseSvn, because it is just worse when it comes to reviewing pending changes and deciding what you want to commit.