<p>Is it recommended that I use an <a href="http://en.wikipedia.org/wiki/Initialization_vector" rel="noreferrer">initialization vector</a> 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?</p>

<p>To put this into actual context, the Win32 Cryptography function, <a href="http://msdn.microsoft.com/en-us/library/aa380272(VS.85).aspx" rel="noreferrer">CryptSetKeyParam</a> allows for the setting of an initialization vector on a key prior to encrypting/decrypting. Other API's also allow for this. </p>

<p>What is generally recommended and why?</p>

An IV is essential when the same key might ever be used to encrypt more than one message.
The reason is because, under most encryption modes, two messages encrypted with the same key can be analyzed together.  In a simple stream cipher, for instance, XORing two ciphertexts encrypted with the same key results in the XOR of the two messages, from which the plaintext can be easily extracted using traditional cryptanalysis techniques.
A weak IV is part of what made WEP breakable.
An IV basically mixes some unique, non-secret data into the key to prevent the same key ever being used twice.