Well, if you start a new game you get to create a new character. Instead of creating one from scratch, however, you can also press the IMPORT buttom to the lower right of the character creation screen. A list will pop up containing the characters who come with the game, the last character to finish the game, and any other characters you may have exported. They get to keep all experience and items they had at the point they were exported, except for their gold and reputation. The game itself is new, so you basically get to do the same thing all over again, but with a character with more experience points and a better selection of items at the start. You can keep on restarting as long as you like.
However, you'll need to export your character before it appears on the list. You can do this at any point in the game by selecting a character you created (it won't work on NPCs you accepted into your party, such as Imoen). After selecting, go to the character record screen or press R. On this screen is an export button (middle right if I recall correctly). If you press it, you'll have to fill in a name so you and the computer know which character you mean when you import it. Once you've done that, you can import the character again at the start of a new game, or at any point in a multiplayer game.
By doing the same thing over and over without losing your items, you can collect a whole set of identical ones. Tomes which permanently increase one of a character's statistics (strength, dexterity etc.) by one are the most popular reason for restarting with the same character. Collecting twelve boots of speed would be another (6 left ones and 6 right ones, otherwise someone'll have difficulty walking
).