SSIS enables you to save your packages either to SQL Server or to the file system.
Kirk Haselden has posted a useful blog explaining the pros and cons of each of these approaches. To that I would like to add the following:
Another advantage of saving to a file is that you are not dependant on having access to a SQL Server instance. This sounds like an obvious thing to say but consider...
With DTS 2000 you could save a package to a file system but you were still dependant on a SQL Server instance to execute the package. Now that the SSIS runtime can be installed seperately from SQL Server it is now possible to store and execute a Microsoft ETL routine without needing access to a SQL Server instance. That HAS to be an advantage because you have less components to manage (and pay for)!
-Jamie
UPDATE 6th May 2005
Allan has advised me that it is in fact possible to run DTS2000 without a SQL Server instance. You simply need to redistribute the necassary DLLs.
Thanks Allan!