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Keep using iframes. Here's an example of why:
The whole Verified By Visa thing really annoys me. I'm happily shopping at some site that I trust, when I'm redirected to some site I've never heard of (not visa.com) and I have to fill in some other form and hope that I get redirected correctly back to the shopping site.
Then recently I was shopping at the John Lewis website, and they brought up the Verified By Visa page in an iframe - wonderful! I'm still looking at the John Lewis site, and all that's happening is I'm being asked for my Verified By Visa password - no problem.
Although as a web developer I know that there's no technical difference between that and a plain old redirect-there-redirect-back, the user experience is so much better!
iframes have access to certain properties of the parent document, e.g. redirect the parent frame to a new location using parent.location.href or parent.window.location (IE allows to restrict that).
This is great for phishing attacks when embedding content from other servers (even if you trust that server it might be compromised).
iframes can also be used for a variety of other attacks: IFrames security summary.
With HTML 5 you'll be able to use the cross document messaging API to send messages from window to window, but for now the iFrame is the most viable alternative to any sort of AJAX that requires styling and scripting to load with the data.
If you're looking to just use text data in the iFrame, use AJAX instead. If you want external CSS or JavaScript to work in a protected environment, want styling to start from scratch, or need to access cross domain documents, use the iFrame.
Cons are that the accessibility of iFrames generally sucks, although you can prevent this by making sure that you proceed the iFrame with a notice of external content for screenreaders. Also check the HTML specifications for other ways to make the iFrame more accessible. Other than that and the obvious limitations scripting wise, the iFrame is a great tool is used responsibly and sparsely.
One last note, piling a page full of iFrames is definitely not a good idea, as remember that for each loaded iFrame, a DOM is created, HTML requests are made and document wrappers are instantiated, eating memory and bandwidth in the process. Keep iFrame's to a minimum on the page, and you'll avoid misuing a powerful tool in the HTML aresenal.