<p>I have a case where a 3rd party ad is bleeding through my modal window implementation. I'd like to up the z-index of the modal overlay as high as possible so the ad won't show on top of it. Is there a limit to z-index values? I'm sure if there is it varies by browser. Anyone know?</p>

Not really, but you might consider the natural limitations of a system, like an int range. I'd
probably keep it under 32,767
.  I've definitely exceeded that in javascript while working on a similar problem, and didn't encounter any problems on the major browsers and platforms that I was concerned about at the time.
In the case of 3rd party ads and overlays, making sure that
wmode="transparent"
on the flash embed is a common problem along the same lines.  Also worth noting that IE has a bug with stacking z-indexes, so if you're not seeing success, make sure you're not hitting your head up against the wall with that one*.
I always like to keep to some kind of
convention
, and not use arbitrary figures.  For example, maybe everything in my
css falls between 0 and 10
.  Maybe dhtml stuff happens in the 100's place values, with a meaningful z-index for any given module.
*Sidenote:
The IE bug, to be specific, is that IE considers a new instance of document flow to be a new stacking context for z-index.  You need to make sure that your z-indexes aren't being lost in the DOM hierarchy when a child node that would normally be inheriting your z-index is being rendered it's own positioning context.