The British Heart Protection study was a large, randomized controlled run which indicated that vitamins made little difference in modifying cardiovascular risk.   

Research carried out by Copenhagen University concluded that antioxidants actually appeared to increase mortality.

The Women's Health Initiative did a large scale study concluding that "...postmenopausal women who take multivitamins appear to have the same risk of most common cancers, cardiovascular disease, or dying as women who do not take multivitamin supplements."

The dietary supplement industry is a $23 billion business.  Self medicating with vitamins has no proven efficacy and can be downright dangerous.  Supplements have their place in health care in circumstances like illness or medically diagnosed deficiencies but should be taken in consultation with a medical doctor.

Last Sunday - Dr. Joe Schwarcz, host of "The Dr. Joe Show" on Montreal's CJAD 800 and Toronto's CFRB Radio, addressed vitamin pseudoscience, the gullible public and vitamin advertisers. Coverage at the post.  Choice quote:

"Most people are eating crap and thinking that they'll take a vitamin to equalize things. It's pointless. The problem with our diet is not a lack of vitamins. It's the fat, salt and sugar. Those issues are not addressed by taking more vitamins."

Though not yet available as of the posting of this article - the show is usually available, a week or so after the fact, here.