Is it advantageous to go first in Dominion?
Yes, it is certainly advantageous to go first in Dominion.

There are some good threads about first player advantage on the DominionStrategy forums.

Here is what Donald X thinks about first player advantage.  Donald X actually underrates first player advantage based on faulty understanding of optimal play with a disadvantage (his "proof" seems to require symmetric play, which is not optimal under the asymmetry that first player advantage can induce) and hence he understates the advantage.  

Here is an expert player stating the  reasons for first player advantage.

There is also copious data supporting the idea that first player has an advantage.  Here is some data analysis I did that corrects for second player is better confounding problem @Jefromi mentions.  It says that first player advantage is worth about 2 or 3 points overall.