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)!
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.