In what cases/application is a high switching frequency desired and vice-versa? I'm trying to choose a DC-DC booster IC and I don't quite know how the switching frequency will affect the circuit. Only thing I can think of now is the speed of the Schottky diode that goes after the inductor, but other than that, I don't know. Google isn't very helpful on this one (or maybe I 'm not use the right keywords) so any help is greatly appreciated.
In general, in both boost and buck switching regulators, a higher switching frequency allows the use of physically smaller inductors and capacitors. However, a high switching frequency can also eat into the overall efficiency of the regulator, through switching losses both in the switch itself and in the gate-drive circuit.
Yes, the diode contributes something to switching losses, too, but that can be mitigated by using synchronous rectification; i.e., replacing the diode with another MOSFET. (But then, that MOSFET has gate-drive losses, too ... as you can see, optimizing one of these designs can involve a surprising number of tradeoffs.)
Like Dave says your inductor can be smaller. A switcher first stores the supplied energy in the coil's magnetic field and reconverts that to an output current, a number of times per second. The higher the frequency, the shorter the period and the time for which it has to store the energy. Energy = power \$\times\$ time, so a 10 times higher frequency means the coil has to store ten times less energy.
The drawback of a higher frequency is higher switching losses. The FET which serves as the switching element dissipates near zero power when on (because almost no voltage across it) and off (because almost no current through it), but every time it switches it passes through its active area where voltage and current are greater than zero, and each time it dissipates some energy. Ten times higher frequency is ten times more through the active area and ten times more energy losses.
Also higher frequency will cause more radiation, EMI (ElectroMagnetic Interference).