Personally I think they should be out of your room because it makes it harder down the track to move them out. On the other hand my house is VERY small and DD's room is so close to ours so I could easily get to her and hear her. In our new house which will be much bigger I plan to put the baby (not thinking about that yet!!) in the lounge in his/her cradle so they are close but not in the room.

Just from talking to people in mum's groups, the ones who had them in the room with them found it harder to put them down and to get them into routine. But if you don't care about that do what you want!! My DD is quite a noisy sleeper so when we do sleep with her (when we are away) I don't sleep nearly aw well.