<p>I'm planning to install Drupal. Is there any reason not to install the latest 6.x version as opposed to the 5.x branch? Are there any really good modules that are 5.x only?</p>

I've found enough modules to happily run my site on Drupal 6.x  I think the only 5.x module I miss is one that did very easy Google ad integration, and that may have been updated I just haven't checked recently.  I don't get enough traffic to make the ads worth the time in setting them up, so I just use the search part of the ad campaign.
Drupal 7.x is under development now, so I would expect that anything that hasn't been moved from 5.x to 6.x is just not being developed anymore, and is probably not really that needed.
Ultimately, take a look at what modules you may need.  With an account on Drupal's site, you can filter by install type.  I found that 6.x is much easier to work with in some regards (managing and upgrading modules) and overall I've had a much easier time maintaining my site under Drupal 6.x than I did under 4.x or 5.x.
I also think that 6.x runs much faster.