Thanks for the article What is "Protected Mode" in Internet Explorer 7 and Should You Use It?
You say that "If you browse known sites, do a good job of screening your email, and tend to be very careful about what you allow to run on your computer, Protected Mode will probably end up just being extra baggage."
The problem with that is that browsing known websites isn't safe. Last year, a study by Websense found that 51% of the sites delivering malware were legitmate websites that had been hacked (remember the MySpace incident, for example).
I really see no reason why anybody should turn off Protected Mode. I run with it enabled and am certainly not "bombarded with dialog boxes" - in fact, it's so infrequent that I see a dialog box that I could easily forget that IE is in Protected Mode!