I personally think that free roam isn't a bad idea as long as your home is "iguana proofed". Some like to eat anything they can get into their mouths. Mine tried to eat my son's orange shirt yesterday (perhaps hampers with lids are a good idea if there will be laundry anywhere he can roam- ads to list of things to buy). If in doubt, try leaving him in the cage when you're away and let him roam freely while you're home.
I wish I was in a position to let mine free roam more. But with sugar gliders, a turtle and a couple of birds, not to mention all my wonderful nicknacs, it's not a good idea. Though, I have been working on proofing my room so I can let him roam there. It's starting to look pretty bare. 
One of the things I do suggest in the free roaming that I don't always see talked about is make sure any outlets that aren't being used have the child caps in them, or that ones that are being used have tight sockets. If your iggy is anything like mine, he'll love to try to climb the walls. There have been a few times those toes have nearly slipped into sockets. So, now I'm taking measures to ensure I don't end up with a crispy fried lizard.
I'm personally all for whatever makes the lizard feel more secure and happy. Being caged does increase their stress in many occasions, not to mention restricts the amount of exercise they are able to get.
Just my two cents anyway.
~Laura~