Different circumstances. He's going, I'm going would be "Lui è andando, io sono andando" implying that the man and I would be going right at this moment in time. Saying "Lui va, io vado" implies (at least in English) that IF he goes, THEN I go. This phrase is often used as a condition or threat to a situation.
Sometimes there is the implied meaning of WHERE he goes, I go... but this doesn't sound like the case in this phrase.
Andate (just look at andare, no extra n!) Read up on this for more info http://www.duolingo.com/comment/671633?from_skill=0a7ab6a4c34344367a6bbc8381f9ab4b
- io is always stem + o
- tu is always stem + i
- lui is always stem + e unless it is an -are verb, then stem + a
- noi is always stem + iamo
- voi is always the infinitive with the last r replaced by a te
- loro is always stem + ono unless it is an -are verb, then stem + ano
Please note that there are many exceptions, which http://italian.about.com will be happy to tell you about.