When running on a treadmill, I believe you should keep the incline set to at least one percent. The added incline helps make up for the lack of environmental resistance indoors, such as wind, making your workout a little tougher. Another reason to set your treadmill incline to at least one percent is to avoid every runner's nemesis, shin splints. Running downhill can create shin splints due to the extra stress placed on the shin bone. A zero incline on a treadmill can mimic a slight downgrade; a negative incline, if you will. To avoid this problem, run with at least some incline when on a treadmill.
Fit's Tip: If you have recently increased your mileage on a treadmill, say because of the shortened days due to the seasons changing, be careful. A treadmill surface is constantly the same whereas roads and trails vary, even when they are flat. On a treadmill every stride is the same, which can lead to overuse/repetitive injuries like shin splints.