Should I use an initialization vector (IV) along with my encryption?

Is it recommended that I use an initialization vector to encrypt/decrypt my data? Will it make things more secure? Is it one of those things that need to be evaluated on a case by case basis?

To put this into actual context, the Win32 Cryptography function, CryptSetKeyParam allows for the setting of an initialization vector on a key prior to encrypting/decrypting. Other API's also allow for this.

What is generally recommended and why?