Anecdote is one of those things that we use to understand the world. But there's a problem, because while anecdote can help us understand stuff on the minor scale of our personal lives (to prove that a particular person is flighty, for example, we don't expect any more than one story of that person canceling a date*) anecdotes suck about things any larger than our own small circle of friends and relatives. There's always going to be an anecdote to prove both sides of any issue. More than that, it's just kinda an inane way of understanding the world when you get down to it, telling illustrative stories. Check out the latest Brooks column to see anecdote at its worst. The anecdote doesn't add any insight into the situation, and is, well, just kinda weird.
*We can believe something, of course, almost in spite of all evidence if we'd want to. Though we might decide a person's flighty after hearing a single story about them, it might take us three or four or ten or twenty instances of flightiness (or a whole three months' worth of flightiness) in our own experience to come to the same conclusion, because we are wedded to the idea that this particular person is much less than flighty, indeed that they are especially kind, we think, and very concerned about our well-being.