Iframes can have similar issues as frames and inconsiderate use of XMLHttpRequest: They break the one-document-per-URL paradigm, which is essential for the proper functioning of the web (think bookmarks, deep-links, search engines, …).
If you’re creating a web application, use whatever technique you want to (including frames, flash, applets, $whatever). If you’re creating an actual, informational web page, stick to frameless HTML, CSS and unobstrusive JavaScripts and keep in mind that the page should still be usable with scripting disabled.