Should Time Capsule be in bridge mode?

I have comcast as isp. The provide a cable modem that looks to be a 3 or 4 port router as well. I run WAN out of comcast router to time capsule WAN in. I set up the Time Capsule using the automatic set up in the latest airport utility. I am running lion. I noticed today that the TC is in bridge mode. Is this the best way to run it? How will it affect the function of the network and the internet access.

If the cable modem is indeed a router as well then Bridge mode is OK. You are essentially telling it to join the existing network and let the modem/router be responsible for handing out IP addresses.

Are their any advantages or disadvantages to setting up in this fashion?

If your Comcast model is actually handling address translation, then bridge mode is the preferred method for the Time Capsule to operate in. If the Time Capsule detects that there is a NAT between it and the Internet, it will flag a working and recommend you switch to bridge mode, specifically to avoid a double NAT scenario. My guess is that this is what happened and how you ended up with your Time Capsule in bridge mode to begin with.