When configuring my new 2.6.13 kernel I felt really lost about whether to select my choices as "yes"(to build them into the kernel) or "module"(to load them as modules.

Are there certain things that are better to load as modules?

I recompiled my kernel several times to change some items to "module" because even with them selected as "yes" I was getting messages(and errors) that they couldn't be found. Once I recompiled with them as modules the problem was solved.

Are there some items that should be loaded as modules?

I'd love some opinions about this. Thanks.

These days it's a matter of opinion for the most part, since resources consumed by the kernel is seldom an issue on a modern PC. That said, generally you should consider using kernel modules for anything you seldom use or don't use but think you might at some point. Things you use continuously or frequently, you should compile directly into the kernel. Reason being that things seldom used (if ever) are just increasing the footprint of the kernel on your system needlessly, while compiling things directly into the kernel offers a slight increase in speed, theorectically. We're talking mere nano seconds there though. Keep in mind though that either way is fine and this is just 1 users opinion amoung many.

Beyond that, at times some drivers work better (or not at all) one way or the other. So if you have issues with a driver one way, try it the other.

As to the "not found" issue, when you compile something into the kernel that use to be loaded as a module, then the module obviously no longer exists. So any attempt to load it into the kernel (ie modprobe) will surely fail. You should adjust your /etc/rc.d/rc.modules and/or any other file that loads them.

Modules are drivers you can load into the kernel when you don't have compiled them into the kernel. I think the best is to compile options into the kernel

Prior to 2.6.12 I ran everything compiled-in.
Now (on one machine) I load the ATI drivers as modules; purely because of size. Could have gotten around it with a grub kernel parameter I guess, but why bother.

Generally I would do all of my "static" hardware (NIC, sound card, IDE controller, USB controller, etc) compiled in, and then add in a few modules for devices I may use down the line. Things like USB printers and USB HID devices, etc. Other than that, I leave everything else out, I try to keep things as lean as possible.

The only exception to that rule for me is the drivers for my NVIDIA video card, which is a module only.

Wonder if that comment was in response to me saying ... "Prior to 2.6.12 I ran everything compiled-in."
I hope not - MS3FGX and I are on the same wavelength (predominantly a Gentoo user here remember ...). I certainly don't have anything excess in my builds - nor would I want to be (mis-)interpreted as advocating that.
Maybe I should have said "Prior to 2.6.12 I ran everything for my environment compiled-in."