I start the really small seeded plants and the slow growing plants indoors. Im zone 6 here, so I have a fairly decent growing season, but it still helps to get a headstart on stuff like tomatoes, peppers, onions, etc. I use the compressed peat pellets to germinate seeds before I transfer them to a small pot. I also have two 4' tables that I hung flourescent shop light fixtures over. With the right bulbs in it, I can put plenty of light on little seedlings. The trays save me some space initially, and as I move stuff from trays to the small pots, it gives me room to start more. Honestly, im way behind this year - just got stuff seeded into trays last weekend, but we'll see how it all goes. I dont like to, but Im not afraid to supplement my starts with some store bought plants. The biggest problem I run into is hard seed...some seeds are still dormant, so I end up with some germinating in a week or less and others that take over a month - but that's what I get for buying the 10 cent packages of seed from the local farm store...
As far as direct seeding goes, I save that for the fast growing stuff - peas, beans, pumpkin, squash, mellons, and (of course) sweet corn. That being said - I have it pretty easy here. I can imagine starting stuff indoors is a lot more important up there in zone 4.