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I noticed that IE languages often derive /v/ from /w/. It is a bit of a rare sound (predominantly IE?). I wonder how /v/ came about in various languages?

In general, labiodentals seem to be a more "advanced" sound (that is, languages develop these sounds at later times than others...) I can only wonder why would it feel so much of an "advanced sound"?

(sorry if it is too vague)

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This has more to do with /v/ being a voiced fricative than it being labiodental: note that the bilabial counterpart of /v/ is not /w/, but /β/, which is probably even rarer than /v/. Voiced fricatives as a group are a somewhat localized feature, as you can see on WALS. Even in languages that are listed as having /v/, it's not always clear that phonologically it should be analyzed as a voiced fricative, since it can pattern with approximants instead (or indeed, be realized as [ʋ]). This is the situation in Croatian, where /v/ is phonologically better seen as an approximant, and a voiced fricative only in dialects. Similarly, [v] or [ʋ] and [w] can be allophones of the same phoneme, which was probably the situation in Sanskrit, as it is in eg. Hindi.

Edit: as for how languages get to have /v/, a very reasonable development is b > β > v. This is what happened eg. in Modern Greek. Another possibility is allophonic intervocalic voicing of /f/, which later becomes phonemic. This happened in English, where the distinction was reinforced by a large number of borrowings.

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I don't think that v is particularly rare, though it is less common than, say, t, so it depends on what you're comparing it with. I would be especially skeptical about claims regarding [v] versus [ʋ] or [β], because in reality there is a continuum of segments in that region, and claims about choice of phonetic symbol are rarely made based on systematic measurements and a theory of what the acoustic properties of [v, ʋ, β] should be.

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