Yep, but a simple include statement doesn't work so simply in every case....
Another advantage I like about using iframes other than it's simplicity is that it keeps all content on my site, so to speak. Check out the Google Module I made. You can do the google search, browse results, and even visit the linked sites all with my header and footer still showing. Plus it's really simple to convert to other CMS's.
http://www.brainsmashr.com/modules.php?name=Google